Analyzing and modelling 1+1d markets
AbstractWe 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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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number cond-mat/0106114.
Date of creation: Jun 2001
Date of revision: Jun 2001
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Web page: http://arxiv.org/
Other versions of this item:
- Challet, Damien & Stinchcombe, Robin, 2001. "Analyzing and modeling 1+1d markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 300(1), pages 285-299.
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