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arxiv: cond-mat/0208025 · v2 · submitted 2002-08-01 · ❄️ cond-mat

Exclusion particle models of limit order financial markets

classification ❄️ cond-mat
keywords marketslimitmodelsorderparticlepriceanalyticalargue
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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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