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Analyzing and modelling 1+1d markets

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Author Info
Damien Challet
Robin Stinchcombe

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Abstract

We report a statistical analysis of the Island ECN (NASDAQ) order book. We determine the static and dynamic properties of this system, and then analyze them from a physicist's viewpoint using an equivalent particle system obtained by treating orders as massive particles and price as position. We identify the fundamental dynamical processes, test existing particles models of such markets against our findings, and introduce a new model of limit order markets.

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File URL: http://arxiv.org/abs/cond-mat/0106114
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File URL: http://arxiv.org/pdf/cond-mat/0106114
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Publisher Info
Paper provided by arXiv.org in its series Quantitative Finance Papers with number cond-mat/0106114.

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Date of creation: Jun 2001
Date of revision: Jun 2001
Handle: RePEc:arx:papers:cond-mat/0106114

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  1. Cappellini, Alessandro & Ferraris, Gianluigi, 2007. "Waiting Times in Simulated Stock Markets," MPRA Paper 7324, University Library of Munich, Germany. [Downloadable!]
  2. Marc Jeannin & Giulia Iori & David Samuel, 2006. "Modeling Stock Pinning," City University Economics Discussion Papers 06/04, Department of Economics, City University, London. [Downloadable!]
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  3. Marcus G. Daniels & J. Doyne Farmer & Giulia Iori & Eric Smith, 2002. "Demand Storage, Market Liquidity, and Price Volatility," Working Papers 02-01-001, Santa Fe Institute.
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This page was last updated on 2009-12-4.

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