Exact solution to a generalised Lillo-Mike-Farmer model with heterogeneous order-splitting strategies

DOI10.1007/s10955-024-03264-1zbMATH Open1542.91384MaRDI QIDQ6564693

Y. Sato, Kiyoshi Kanazawa

Publication date: 1 July 2024

Published in: Journal of Statistical Physics (Search for Journal in Brave)

zbMATH Keywords

heterogeneous agentsmarket microstructureeconophysicsLillo-Mike-Farmer modelorder-splitting behaviour

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Financial applications of other theories (91G80) Heterogeneous agent models (91B69) Financial markets (91G15)

Cites Work

• Order aggressiveness, pre-trade transparency, and long memory in an order-driven market
• Why is equity order flow so persistent?
• Exact solution to two-body financial dealer model: revisited from the viewpoint of kinetic theory
• Essentials of Econophysics Modelling
• Statistical properties of stock order books: empirical results and models
• Statistical theory of the continuous double auction
• A fully consistent, minimal model for non-linear market impact
• Introduction to Econophysics
• Dynamical models of stock market exchanges: From microscopic determinism to macroscopic randomness

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