Exact Hurst exponent and crossover behavior in a limit order market model

DOI10.1016/S0378-4371(02)01217-7zbMath1001.91038arXivcond-mat/0206446OpenAlexW2077164375MaRDI QIDQ1847461

R. D. Willmann, Gunter M. Schütz, Damien Challet

Publication date: 26 November 2002

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

Full work available at URL: https://arxiv.org/abs/cond-mat/0206446

zbMATH Keywords

universality classcritical parameterexclusion particle model

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80)

Related Items (11)

More statistical properties of order books and price impact ⋮ Limit order market analysis and modelling: on a universal cause for over-diffusive prices ⋮ Conformal invariance in conditioned stochastic particle systems ⋮ Price dynamics in an order-driven market with Bayesian learning ⋮ Velocity control for improving flow through a bottleneck ⋮ Non-constant rates and over-diffusive prices in a simple model of limit order markets ⋮ Studies of the limit order book around large price changes ⋮ Interacting gaps model, dynamics of order book, and stock-market fluctuations ⋮ Simple stochastic order-book model of swarm behavior in continuous double auction ⋮ Dynamical transition in the TASEP with Langmuir kinetics: mean-field theory ⋮ Unbalanced Langmuir kinetics affects TASEP dynamical transitions: mean-field theory

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