Analyzing and modelling 1+1d markets
Statistical Mechanics
2009-11-07 v2 Disordered Systems and Neural Networks
Trading and Market Microstructure
Abstract
We report a statistical analysis of the Island ECN (NASDAQ) order book. We determine the static and dynamic properties of this system, and then analyze them from a physicist's viewpoint using an equivalent particle system obtained by treating orders as massive particles and price as position. We identify the fundamental dynamical processes, test existing particles models of such markets against our findings, and introduce a new model of limit order markets.
Cite
@article{arxiv.cond-mat/0106114,
title = {Analyzing and modelling 1+1d markets},
author = {Damien Challet and Robin Stinchcombe},
journal= {arXiv preprint arXiv:cond-mat/0106114},
year = {2009}
}
Comments
17 pages, 14 figures, small typos correction