Limit order market analysis and modelling: on an universal cause for over-diffusive prices
Statistical Mechanics
2009-11-07 v1 Disordered Systems and Neural Networks
Trading and Market Microstructure
Abstract
We briefly review data analysis of the Island order book, part of NASDAQ, which suggests a framework to which all limit order markets should comply. Using a simple exclusion particle model, we argue that short-time price over-diffusion in limit order markets is due to the non-equilibrium of order placement, cancellation and execution rates, which is an inherent feature of real limit order markets.
Cite
@article{arxiv.cond-mat/0211082,
title = {Limit order market analysis and modelling: on an universal cause for over-diffusive prices},
author = {Damien Challet and Robin Stinchcombe},
journal= {arXiv preprint arXiv:cond-mat/0211082},
year = {2009}
}
Comments
6 pages, 3 figures. Contribution to the proceedings of Econophysics Bali Conference 2002