|
| | | | |
| | | |
| Stat |
Members: 3645
Articles: 2'502'364
Articles rated: 2609
23 April 2024 |
|
| | | | |
|
Article overview
| |
|
|
Limit order market analysis and modelling: on an universal cause for over-diffusive prices | | Damien Challet
; Robin Stinchcombe
; | | Date: |
5 Nov 2002 | | Subject: | Statistical Mechanics; Disordered Systems and Neural Networks | cond-mat.stat-mech cond-mat.dis-nn | | 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. | | Source: | arXiv, cond-mat/0211082 | | Services: | Forum | Review | PDF | Favorites | |
|
|
No review found.
Did you like this article?
Note: answers to reviews or questions about the article must be posted in the forum section.
Authors are not allowed to review their own article. They can use the forum section.
browser Mozilla/5.0 AppleWebKit/537.36 (KHTML, like Gecko; compatible; ClaudeBot/1.0; +claudebot@anthropic.com)
|
| |
|
|
|
|
News, job offers and information for researchers and scientists:
| |
REGISTER