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

DOI10.1016/S0378-4371(02)01217-7zbMath1001.91038arXivcond-mat/0206446MaRDI 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 class; critical parameter; exclusion particle model

Mathematics Subject Classification ID

91B80: Applications of statistical and quantum mechanics to economics (econophysics)

91B24: Microeconomic theory (price theory and economic markets)

91G80: Financial applications of other theories

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