The interacting gaps model: reconciling theoretical and numerical approaches to limit-order models

DOI10.1016/j.physa.2003.08.029zbMath1054.91031OpenAlexW2150825574MaRDI QIDQ1412914

Sorin Solomon, Lev Muchnik, František Slanina

Publication date: 30 November 2003

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2003.08.029

zbMATH Keywords

return distributionpower-law tailslimit-order driven markets

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (2)

Studies of the limit order book around large price changes ⋮ Interacting gaps model, dynamics of order book, and stock-market fluctuations

Cites Work

• On financial markets trading
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• Statistical properties of stock order books: empirical results and models
• Dynamical models of stock market exchanges: From microscopic determinism to macroscopic randomness
• Analyzing and modeling 1+1d markets
• Power laws of wealth, market order volumes and market returns

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