Order book model with herd behavior exhibiting long-range memory

DOI10.1016/J.PHYSA.2019.03.059OpenAlexW2950618724WikidataQ128203321 ScholiaQ128203321MaRDI QIDQ2159603

Julius Ruseckas, Aleksejus Kononovicius

Publication date: 2 August 2022

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

Full work available at URL: https://arxiv.org/abs/1809.02772

zbMATH Keywords

financial marketslong-range memorybitcoinorder book

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Related Items (4)

Ordering dynamics in the voter model with aging ⋮ Noisy voter model for the anomalous diffusion of parliamentary presence ⋮ Approximation of the first passage time distribution for the birth–death processes ⋮ Dynamics of stocks prices based in the Black \& Scholes equation and nonlinear stochastic differentials equations

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