Abstract
We consider a simplified model of the continuous double auction where prices are integers varying from 1 to N with limit orders and market orders, but quantity per order limited to a single share. For this model, the order process is equivalent to two M∕M∕1 queues. We study the behavior of the auction in the low-traffic limit where limit orders are immediately matched by market orders. In this limit, the distribution of prices can be computed exactly and gives a reasonable approximation of the price distribution when the ratio between the rate of order arrivals and the rate of order executions is below 1∕2. This is further confirmed by the analysis of the first-passage time in 1 or N.
Lingua originale | Inglese |
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pagine (da-a) | 61-72 |
Numero di pagine | 12 |
Rivista | Physica A: Statistical Mechanics and its Applications |
Volume | 485 |
DOI | |
Stato di pubblicazione | Pubblicato - 1 nov 2017 |
Pubblicato esternamente | Sì |