Exclusion particle models of limit order financial markets
Condensed Matter
2007-05-23 v2
Abstract
Using simple particle models of limit order markets, we argue that mid-term over-diffusive price behaviour is inherent to the very nature of these markets. Several rules for rate changes are considered. We obtain analytical results for bid-ask spread properties, Hurst plots and price increment correlation functions.
Keywords
Cite
@article{arxiv.cond-mat/0208025,
title = {Exclusion particle models of limit order financial markets},
author = {Damien Challet and Robin Stinchcombe},
journal= {arXiv preprint arXiv:cond-mat/0208025},
year = {2007}
}
Comments
13 pages. Completely rewritten, new results added