Analyzing and modeling 1+1d markets
From MaRDI portal
Publication:5947839
DOI10.1016/S0378-4371(01)00335-1zbMath0974.91507arXivcond-mat/0106114OpenAlexW1493213957MaRDI QIDQ5947839
Robin B. Stinchcombe, Damien Challet
Publication date: 23 October 2001
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/cond-mat/0106114
Foundations, quantum information and its processing, quantum axioms, and philosophy (81P99) Auctions, bargaining, bidding and selling, and other market models (91B26)
Related Items (32)
Two price regimes in limit order books: liquidity cushion and fragmented distant field ⋮ More statistical properties of order books and price impact ⋮ Limit order market analysis and modelling: on a universal cause for over-diffusive prices ⋮ An analysis of price impact function in order-driven markets ⋮ Estimation of zero-intelligence models by L1 data ⋮ Modelling intensities of order flows in a limit order book ⋮ The role of volume in order book dynamics: a multivariate Hawkes process analysis ⋮ Order book model with herd behavior exhibiting long-range memory ⋮ Between complexity of modelling and modelling of complexity: an essay on econophysics ⋮ The interacting gaps model: reconciling theoretical and numerical approaches to limit-order models ⋮ Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes ⋮ Clearing price distributions in call auctions ⋮ Limit-order book resiliency after effective market orders: spread, depth and intensity ⋮ Order book, financial markets, and self-organized criticality ⋮ Statistical properties of stock order books: empirical results and models ⋮ Non-constant rates and over-diffusive prices in a simple model of limit order markets ⋮ A steady-state model of the continuous double auction ⋮ Statistical theory of the continuous double auction ⋮ MARKET IMPACT AND ORDER BOOK CHARACTERISTICS IN THE KOREAN FUTURES MARKET ⋮ Studies of the limit order book around large price changes ⋮ Interacting gaps model, dynamics of order book, and stock-market fluctuations ⋮ Do stylised facts of order book markets need strategic behaviour? ⋮ The order book as a queueing system: average depth and influence of the size of limit orders ⋮ Simple stochastic order-book model of swarm behavior in continuous double auction ⋮ Modeling stock pinning ⋮ Order book approach to price impact ⋮ COULD SHORT SELLING MAKE FINANCIAL MARKETS TUMBLE? ⋮ WAITING TIMES IN SIMULATED STOCK MARKETS ⋮ Diffusive behavior and the modeling of characteristic times in limit order executions ⋮ A MATHEMATICAL APPROACH TO ORDER BOOK MODELING ⋮ Exact Hurst exponent and crossover behavior in a limit order market model ⋮ Limit order books
Cites Work
This page was built for publication: Analyzing and modeling 1+1d markets
