Interacting gaps model, dynamics of order book, and stock-market fluctuations

DOI10.1140/EPJB/E2007-00185-4MaRDI QIDQ978792zbMATH OpenOpenAlexFDO

Authors A. Svorenčík, Frantisek Slanina

Publication date 25 June 2010

Published in The European Physical Journal B. Condensed Matter and Complex Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1140/epjb/e2007-00185-4

Mathematics Subject Classification ID

Economic time series analysis (91B84) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Financial applications of other theories (91G80)

Recommendations

• The interacting gaps model: reconciling theoretical and numerical approaches to limit-order models
• Order book, financial markets, and self-organized criticality
• AVALANCHE DYNAMICS AND TRADING FRICTION EFFECTS ON STOCK MARKET RETURNS
• Price fluctuations from the order book perspective - empirical facts and a simple model
• Stylized facts of price gaps in limit order books

Cites work

• Aggregate fluctuations from independent sectoral shocks: self-organized criticality in a model of production and inventory dynamics
• An analysis of price impact function in order-driven markets
• Analyzing and modeling 1+1d markets
• Elements for a theory of financial risks
• Exact Hurst exponent and crossover behavior in a limit order market model
• Exact dynamics of a class of aggregation models
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• Introduction to Econophysics
• Large stock price changes: volume or liquidity?
• Learning the optimal trading strategy
• Limit order market analysis and modelling: on a universal cause for over-diffusive prices
• More statistical properties of order books and price impact
• Nonequilibrium phase transition in a model of diffusion, aggregation, and fragmentation
• On financial markets trading
• Order book approach to price impact
• Preferential growth: solution and application to modeling stock market
• Price fluctuations from the order book perspective - empirical facts and a simple model
• Statics and dynamics of a diffusion-limited reaction: anomalous kinetics, nonequilibrium self-ordering, and a dynamic transition.
• TRADER DYNAMICS IN A MODEL MARKET
• The interacting gaps model: reconciling theoretical and numerical approaches to limit-order models

Cited in

(2)

• The interacting gaps model: reconciling theoretical and numerical approaches to limit-order models
• Time-dependent relations between gaps and returns in a bitcoin order book

This page was built for publication: Interacting gaps model, dynamics of order book, and stock-market fluctuations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q978792)