Limit order market analysis and modelling: on a universal cause for over-diffusive prices

DOI10.1016/S0378-4371(02)01895-2zbMath1072.91563arXivcond-mat/0211082OpenAlexW2014904030MaRDI QIDQ1873948

Damien Challet, Robin B. Stinchcombe

Publication date: 21 May 2003

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

Full work available at URL: https://arxiv.org/abs/cond-mat/0211082

zbMATH Keywords

exclusion particle modelorder placement non-equilibriumshort-time over-diffusion

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Statistical methods; economic indices and measures (91B82)

Related Items (5)

A mathematical formulation of order cancellation for the agent-based modelling of financial markets ⋮ Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes ⋮ Interacting gaps model, dynamics of order book, and stock-market fluctuations ⋮ Limit order placement as an utility maximization problem and the origin of power law distribution of limit order prices ⋮ Short-term market reaction after extreme price changes of liquid stocks

Cites Work

• Exact Hurst exponent and crossover behavior in a limit order market model
• Exact solution of a 1D asymmetric exclusion model using a matrix formulation
• Introduction to Econophysics
• Analyzing and modeling 1+1d markets

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