The interacting gaps model: reconciling theoretical and numerical approaches to limit-order models
From MaRDI portal
Publication:1412914
DOI10.1016/j.physa.2003.08.029zbMath1054.91031OpenAlexW2150825574MaRDI QIDQ1412914
Sorin Solomon, Lev Muchnik, František Slanina
Publication date: 30 November 2003
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2003.08.029
Related Items (2)
Studies of the limit order book around large price changes ⋮ Interacting gaps model, dynamics of order book, and stock-market fluctuations
Cites Work
- On financial markets trading
- HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
- Statistical properties of stock order books: empirical results and models
- Dynamical models of stock market exchanges: From microscopic determinism to macroscopic randomness
- Analyzing and modeling 1+1d markets
- Power laws of wealth, market order volumes and market returns
This page was built for publication: The interacting gaps model: reconciling theoretical and numerical approaches to limit-order models