Non-constant rates and over-diffusive prices in a simple model of limit order markets (Q4647254): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1088/1469-7688/3/3/301
+Normal rank
@@ Property / OpenAlex ID @@
+W1968457843
@@ Property / OpenAlex ID: W1968457843 / rank @@
+Normal rank
@@ Property / cites work @@
+Microscopic models for long ranged volatility correlations
+Normal rank
@@ Property / cites work @@
+Statistical properties of stock order books: empirical results and models
+Normal rank
@@ Property / cites work @@
+Order flow and the bid-ask spread: an empirical probability model of screen-based trading
+Normal rank
@@ Property / cites work @@
+Analyzing and modeling 1+1d markets
@@ Property / cites work: Analyzing and modeling 1+1d markets / rank @@
+Normal rank
@@ Property / cites work @@
+Exact solution of a 1D asymmetric exclusion model using a matrix formulation
+Normal rank
@@ Property / cites work @@
+Statistics of the occupation time of renewal processes
+Normal rank
@@ Property / cites work @@
+Introduction to Econophysics
@@ Property / cites work: Introduction to Econophysics / rank @@
+Normal rank
@@ Property / cites work @@
+Price fluctuations from the order book perspective - empirical facts and a simple model
+Normal rank
@@ Property / cites work @@
+Market Behavior in a Clearing House
@@ Property / cites work: Market Behavior in a Clearing House / rank @@
+Normal rank
@@ Property / cites work @@
+More statistical properties of order books and price impact
+Normal rank
@@ Property / cites work @@
+A Guide to First-Passage Processes
@@ Property / cites work: A Guide to First-Passage Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Q4863397
@@ Property / cites work: Q4863397 / rank @@
+Normal rank
@@ Property / cites work @@
+Exact Hurst exponent and crossover behavior in a limit order market model
+Normal rank
@@ Property / cites work @@
+The power of patience: a behavioural regularity in limit-order placement
+Normal rank