Particle-scale modelling of financial price dynamics

DOI10.1016/j.cnsns.2016.07.011zbMath1465.91133OpenAlexW2505657539MaRDI QIDQ2005013

David Liu

Publication date: 7 October 2020

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2016.07.011

zbMATH Keywords

molecular dynamicsfinancial market modellingdiscrete particle modelorder bookfinancial Brownian particle

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Financial markets (91G15)

Cites Work

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• The Long Memory of the Efficient Market
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• What really causes large price changes?
• Statistical properties of stock order books: empirical results and models
• Statistical theory of the continuous double auction
• Empirical Analysis of Limit Order Markets
• A fully consistent, minimal model for non-linear market impact
• Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?

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