More statistical properties of order books and price impact
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Publication:1873946
DOI10.1016/S0378-4371(02)01896-4zbMath1072.91561arXivcond-mat/0210710MaRDI QIDQ1873946
Jean-Philippe Bouchaud, Marc Potters
Publication date: 21 May 2003
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/cond-mat/0210710
Microeconomic theory (price theory and economic markets) (91B24) Statistical methods; economic indices and measures (91B82)
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Cites Work
- Exact Hurst exponent and crossover behavior in a limit order market model
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- Statistical properties of stock order books: empirical results and models
- Analyzing and modeling 1+1d markets
- Price fluctuations from the order book perspective - empirical facts and a simple model
