Exclusion particle models of limit order financial markets
classification
❄️ cond-mat
keywords
marketslimitmodelsorderparticlepriceanalyticalargue
read the original abstract
Using 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.
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