Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5102510 | Physica A: Statistical Mechanics and its Applications | 2017 | 12 Pages |
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 MâMâ1 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 1â2. This is further confirmed by the analysis of the first-passage time in 1 or N.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Enrico Scalas, Fabio Rapallo, Tijana RadivojeviÄ,