Particle-scale modelling of financial price dynamics

DOI10.1016/J.CNSNS.2016.07.011MaRDI QIDQ2005013zbMATH OpenOpenAlexFDO

Authors 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 dynamicsdiscrete particle modelorder bookfinancial Brownian particlefinancial market modelling

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• A fully consistent, minimal model for nonlinear market impact
• A multi agent model for the limit order book dynamics
• A stochastic model for order book dynamics
• Empirical Analysis of Limit Order Markets
• Fluctuations and response in financial markets: the subtle nature of `random' price changes
• Market efficiency and the long-memory of supply and demand: is price impact variable and permanent or fixed and temporary?
• Order book approach to price impact
• Paul Wilmott on quantitative finance. 3 Vols. With CD-ROM
• Statistical properties of stock order books: empirical results and models
• Statistical theory of the continuous double auction
• The Long Memory of the Efficient Market
• The pricing of options and corporate liabilities
• What really causes large price changes?

Cited in

(1)

• PRICE FORMATION BASED ON PARTICLE-CLUSTER AGGREGATION

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