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

  • Published:2017-11 Issue: Volume:485 Page:61-72
  • ISSN:0378-4371
  • Container-title:Physica A: Statistical Mechanics and its Applications
  • language:en
  • Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Scalas Enrico,Rapallo Fabio,Radivojević Tijana

Funder

Spanish Ministry of Economy and Competitiveness MINECO

Basque Government ELKARTEK Programme

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference26 articles.

1. Market Microstructure Theory;O’Hara,1998

2. High frequency market microstructure;O’Hara;J. Financ. Econ.,2015

3. J. Blanchet, X. Chen, Continuous-time modeling of bid–ask spread and price dynamics in limit order books, 2013. URL arXiv:1310.1103 [q-fin.TR]

4. Multiclass Hammersley–Aldous–Diaconis process and multiclass-customer queues;Ferrari;Ann. Inst. H. Poincaré,2009

5. Ergodic transition in a simple model of the continuous double auction;Radivojević;PLoS One,2014

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