Limit order market analysis and modelling: on a universal cause for over-diffusive prices
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Publication:1873948
DOI10.1016/S0378-4371(02)01895-2zbMath1072.91563arXivcond-mat/0211082MaRDI 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
91B26: Auctions, bargaining, bidding and selling, and other market models
91B82: Statistical methods; economic indices and measures
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Cites Work