Scaling and memory in the non-poisson process of limit order cancelation
Download full text from publisher
References listed on IDEAS
- Ren, Fei & Gu, Gao-Feng & Zhou, Wei-Xing, 2009. "Scaling and memory in the return intervals of realized volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(22), pages 4787-4796.
- Mike, Szabolcs & Farmer, J. Doyne, 2008.
"An empirical behavioral model of liquidity and volatility,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 32(1), pages 200-234, January.
- Szabolcs Mike & J. Doyne Farmer, 2007. "An empirical behavioral model of liquidity and volatility," Papers 0709.0159, arXiv.org.
- S. M.D. Queirós & L. G. Moyano & J. de Souza & C. Tsallis, 2007. "A nonextensive approach to the dynamics of financial observables," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 55(2), pages 161-167, January.
- Mainardi, Francesco & Raberto, Marco & Gorenflo, Rudolf & Scalas, Enrico, 2000.
"Fractional calculus and continuous-time finance II: the waiting-time distribution,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 287(3), pages 468-481.
- Francesco Mainardi & Marco Raberto & Rudolf Gorenflo & Enrico Scalas, 2000. "Fractional calculus and continuous-time finance II: the waiting-time distribution," Papers cond-mat/0006454, arXiv.org, revised Nov 2000.
- Francesco Mainardi & Marco Raberto & Rudolf Gorenflo & Enrico Scalas, 2004. "Fractional calculus and continuous-time finance II: the waiting- time distribution," Finance 0411008, EconWPA.
- Lillo Fabrizio & Farmer J. Doyne, 2004. "The Long Memory of the Efficient Market," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(3), pages 1-35, September.
- Zhiguang (Gerald) Wang, 2009. "Volatility Risk," Issue Briefs 2009513, South Dakota State University, Department of Economics.
- Fei Ren & Gao-Feng Gu & Wei-Xing Zhou, 2009. "Scaling and memory in the return intervals of realized volatility," Papers 0904.1107, arXiv.org, revised Aug 2009.
- Sergei Maslov & Mark Mills, 2001. "Price fluctuations from the order book perspective - empirical facts and a simple model," Papers cond-mat/0102518, arXiv.org.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:0911.0057. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators). General contact details of provider: http://arxiv.org/ .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.