Ergodic Transition in a Simple Model of the Continuous Double Auction
Ergodic Transition in a Simple Model of the Continuous Double Auction
We study a phenomenological model for the continuous double auction, whose aggregate order process is equivalent to two independent queues. The continuous double auction defines a continuous-time random walk for trade prices. The conditions for ergodicity of the auction are derived and, as a consequence, three possible regimes in the …