Low-traffic limit and first-passage times for a simple model of the continuous double auction

Enrico Scalas, Fabio Rapallo, Tijana Radivojević

Risultato della ricerca: Contributo su rivistaArticolo in rivistapeer review

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 originaleInglese
pagine (da-a)61-72
Numero di pagine12
RivistaPhysica A: Statistical Mechanics and its Applications
Volume485
DOI
Stato di pubblicazionePubblicato - 1 nov 2017
Pubblicato esternamente

Fingerprint

Entra nei temi di ricerca di 'Low-traffic limit and first-passage times for a simple model of the continuous double auction'. Insieme formano una fingerprint unica.

Cita questo