Studies of the limit order book around large price changes

DOI10.1140/epjb/e2009-00297-9zbMath1188.91165arXiv0901.0495OpenAlexW2020511862MaRDI QIDQ977768

Bence Tóth, János Kertész, J. Doyne Farmer

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://arxiv.org/abs/0901.0495

zbMATH Keywords

financial marketseconomicseconophysics

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Microeconomic theory (price theory and economic markets) (91B24)

Related Items (1)

Two price regimes in limit order books: liquidity cushion and fragmented distant field

Cites Work

• The interacting gaps model: reconciling theoretical and numerical approaches to limit-order models
• Exact Hurst exponent and crossover behavior in a limit order market model
• Short-term market reaction after extreme price changes of liquid stocks
• Diffusive behavior and the modeling of characteristic times in limit order executions
• Large stock price changes: volume or liquidity?
• Analyzing and modeling 1+1d markets

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