Exclusion particle models of limit order financial markets

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dc.creatorChallet, Damien
dc.creatorStinchcombe, Robin
dc.date2002-08-01
dc.date2002-12-04
dc.date.accessioned2026-07-07T02:46:40Z
dc.date.available2026-07-07T02:46:40Z
dc.descriptionUsing simple particle models of limit order markets, we argue that mid-term over-diffusive price behaviour is inherent to the very nature of these markets. Several rules for rate changes are considered. We obtain analytical results for bid-ask spread properties, Hurst plots and price increment correlation functions.
dc.description13 pages. Completely rewritten, new results added
dc.identifierhttps://arxiv.org/abs/cond-mat/0208025
dc.identifierhttp://arxiv.org/abs/cond-mat/0208025
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/19718
dc.subjectCondensed Matter
dc.titleExclusion particle models of limit order financial markets
dc.typetext

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