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Convergence of Markovian price processes in a financial market transaction model

Author

Listed:
  • Xiaojing Xu

    (Sichuan University)

  • Jinpeng Ma

    (Rutgers University)

  • Xiaoping Xie

    (Sichuan University)

Abstract

This paper studies a financial market transaction model and convergence of Markovian price processes generated by an $$\alpha$$ α -double auction in Xu et al. (Expert Syst Appl 41(16):7032–7045, 2014) and extends their results for a fixed $$\alpha$$ α in [0, 1] to the case where $$\alpha$$ α is governed by a time non-homogeneous Markov chain over a set of finite states defined by $$R\equiv \{\alpha _1, \alpha _2, \ldots , \alpha _r\}$$ R ≡ { α 1 , α 2 , … , α r } , $$0\le \alpha _1

Suggested Citation

  • Xiaojing Xu & Jinpeng Ma & Xiaoping Xie, 2017. "Convergence of Markovian price processes in a financial market transaction model," Operational Research, Springer, vol. 17(1), pages 239-273, April.
    • Handle: RePEc:spr:operea:v:17:y:2017:i:1:d:10.1007_s12351-015-0224-7
    DOI: 10.1007/s12351-015-0224-7
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    Cited by:

    1. Xiaojing Xu & Jinpeng Ma & Xiaoping Xie, 2019. "Price Convergence under a Probabilistic Double Auction," Computational Economics, Springer;Society for Computational Economics, vol. 54(3), pages 1113-1155, October.

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