The role of communication and imitation in limit order markets

DOI10.1140/epjb/e2009-00337-6zbMath1188.91163OpenAlexW2074983186MaRDI QIDQ977765

J. Martínez

Publication date: 23 June 2010

Published in: The European Physical Journal B. Condensed Matter and Complex Systems (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/3890/1/The%20role%20of%20communication%20and%20imitation%20in%20limit%20order%20markets.pdf

zbMATH Keywords

stochastic processesrandom processesfinancial marketsprobability theoryand statisticsbusiness and managementnoise econophysics

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Trade models (91B60)

Related Items (3)

Why is equity order flow so persistent? ⋮ A calibration procedure for analyzing stock price dynamics in an agent-based framework ⋮ Business fluctuations in a behavioral switching model: gridlock effects and credit crunch phenomena in financial networks

Cites Work

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• Modeling long memory in stock market volatility
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• Modeling volatility persistence of speculative returns: a new approach
• Time series properties of an artificial stock market
• The impact of heterogeneous trading rules on the limit order book and order flows
• Long-Term Memory in Stock Market Prices
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
• The Economics of Rumours
• Agent-based simulation of a financial market

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