Order book model with herd behavior exhibiting long-range memory
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Publication:2159603
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Cites work
- A mathematical approach to order book modeling
- Analyzing and modeling 1+1d markets
- Bargaining dynamics in exchange networks
- Coupled nonlinear stochastic differential equations generating arbitrary distributed observable with 1/f noise
- Empirical analysis and agent-based modeling of the Lithuanian parliamentary elections
- Empirical properties of asset returns: stylized facts and statistical issues
- Estimation of agent-based models using sequential Monte Carlo methods
- Estimation of agent-based models: The case of an asymmetric herding model
- Evolutionary dynamics and equitable core selection in assignment games
- From Walras' auctioneer to continuous time double auctions: a general dynamic theory of supply and demand
- scientific article; zbMATH DE number 52118 (Why is no real title available?)
- Minimal agent based model for financial markets. I
- Minimal agent based model for financial markets. II
- Network structure andn-dependence in agent-based herding models
- Order book, financial markets, and self-organized criticality
- Statistical properties of stock order books: empirical results and models
- Statistical theory of the continuous double auction
- Time variation of higher moments in a financial market with heterogeneous agents: an analytical approach
Cited in
(8)- Dynamics of stocks prices based in the Black \& Scholes equation and nonlinear stochastic differentials equations
- Ordering dynamics in the voter model with aging
- A one-level limit order book model with memory and variable spread
- Approximation of the first passage time distribution for the birth-death processes
- Noisy voter model for the anomalous diffusion of parliamentary presence
- Exact solution to a generalised Lillo-Mike-Farmer model with heterogeneous order-splitting strategies
- Order aggressiveness, pre-trade transparency, and long memory in an order-driven market
- Delayed interactions in the noisy voter model through the periodic polling mechanism
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