Non-constant rates and over-diffusive prices in a simple model of limit order markets
Authors:
Damien Challet a;
Robin Stinchcombe a
| Affiliation: | a Theoretical Physics, Oxford, UK |
DOI:
10.1088/1469-7688/3/3/301
Publication Frequency:
8 issues per year
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Abstract
Using simple particle models of limit order markets, we argue that the mid-term over-diffusive price behaviour is due to the variability of market order and limit order rates. Several rules for rate changes are considered. We obtain analytical results for bid-ask spread properties, Hurst plots and price increment correlation functions.
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