Exact Hurst exponent and crossover behavior in a limit order market model

DOI10.1016/S0378-4371(02)01217-7zbMath1001.91038arXivcond-mat/0206446OpenAlexW2077164375MaRDI QIDQ1847461

R. D. Willmann, Gunter M. Schütz, Damien Challet

Publication date: 26 November 2002

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0206446

zbMATH Keywords

universality classcritical parameterexclusion particle model

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80)

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