相关论文: Exact Hurst exponent and crossover behavior in a l…
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…
Several models of stock trading [P. Bak et al, Physica A {\bf 246}, 430 (1997)] are analyzed in analogy with one-dimensional, two-species reaction-diffusion-branching processes. Using heuristic and scaling arguments, we show that the…
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…
We introduce and study a simple model of a limit order-driven market. Traders in this model can either trade at the market price or place a limit order, i.e. an instruction to buy (sell) a certain amount of the stock if its price falls…
We prove a law of large numbers and a central limit theorem for a tagged particle in a symmetric simple exclusion process in the one-dimensional lattice with variable diffusion coefficient. The scaling limits are obtained from a similar…
We empirically investigated the relationships between the degree of efficiency and the predictability in financial time-series data. The Hurst exponent was used as the measurement of the degree of efficiency, and the hit rate calculated…
Hurst Exponent has been widely used in different fields as a measure of long range dependence in time series. It has been studied in hydrology and geophysics, economics and finance, and recently, it is still a hot topic in the different…
We give a stochastic microscopic modelling of stock markets driven by continuous double auction. If we take into account the mimetic behavior of traders, when they place limit order, our virtual markets shows the power-law tail of the…
As a model of composite material, the fiber bundle model has been chosen -where a bundle of fibers is subjected to external load and fibers have distributed thresholds. For different loading conditions, such a system shows few precursors…
Considering that both the entropy-based market information and the Hurst exponent are useful tools for determining whether the efficient market hypothesis holds for a given asset, we study the link between the two approaches. We thus…
An asymmetric exclusion model on an open chain with random rates for hopping particles, where overtaking is also possible, is studied numerically and by computer simulation. The phase structure of the model and the density profiles near the…
The market efficiency hypothesis has been proposed to explain the behavior of time series of stock markets. The Black-Scholes model (B-S) for example, is based on the assumption that markets are efficient. As a consequence, it is…
Power law cumulative frequency $(P)$ vs. event size $(l)$ distributions $P(\geq l)\sim l^{-\alpha}$ are frequently cited as evidence for complexity and serve as a starting point for linking theoretical models and mechanisms with observed…
We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties…
One-dimensional non-equilibrium models of particles subjected to a coagulation-diffusion process are important in understanding non-equilibrium dynamics, and fluctuation-dissipation relation. We consider in this paper transport properties…
In this paper we introduce a completely continuous and time-variate model of the evolution of market limit orders based on the existence, uniqueness, and regularity of the solutions to a type of stochastic partial differential equations…
We develop a model for point processes on the real line, where the intensity can be locally unbounded without inducing an explosion. In contrast to an orderly point process, for which the probability of observing more than one event over a…
In this paper, three approaches to calculate the self-similarity exponent of a time series are compared in order to determine which one performs best to identify the transition from random efficient market behavior (EM) to herding behavior…
As a solvable and broadly applicable model system, the totally asymmetric exclusion process enjoys iconic status in the theory of non-equilibrium phase transitions. Here, we focus on the time dependence of the total number of particles on a…
A number of phenomena in various fields such as geology, atmospheric sciences, economics, to list a few, can be modeled as a fractional Brownian motion indexed by Hurst exponent $H$. This exponent is related to the degree of regularity and…