This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Limit order market analysis and modelling: on an universal cause for over-diffusive prices

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Damien Challet
Robin Stinchcombe

Additional information is available for the following registered author(s):

Abstract

We briefly review data analysis of the Island order book, part of NASDAQ, which suggests a framework to which all limit order markets should comply. Using a simple exclusion particle model, we argue that short-time price over-diffusion in limit order markets is due to the non-equilibrium of order placement, cancellation and execution rates, which is an inherent feature of real limit order markets.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://arxiv.org/abs/cond-mat/0211082
File Format: text/html
File Function: Abstract
Download Restriction: no
File URL: http://arxiv.org/pdf/cond-mat/0211082
File Format: application/pdf
File Function: Latest version
Download Restriction: no

Publisher Info
Paper provided by arXiv.org in its series Quantitative Finance Papers with number cond-mat/0211082.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length:
Date of creation: Nov 2002
Date of revision:
Handle: RePEc:arx:papers:cond-mat/0211082

Contact details of provider:
Web page: http://arxiv.org/

For technical questions regarding this item, or to correct its listing, contact: (arXiv administrators).

Related research
Keywords:

Statistics
Access and download statistics

Did you know? All top Economics journals are listed on RePEc.

This page was last updated on 2009-12-21.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.