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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

Published in: Quantitative Finance, Volume 3, Issue 3 June 2003 , pages 155 - 162

Subjects: Applied Mathematics; Business Mathematics; Finance & Accounting; Financial Mathematics;

Formats available: PDF (English)

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