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

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 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.

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Year of publication:	2003
Authors:	Challet, Damien ; Stinchcombe, Robin
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 324.2003, 1, p. 141-145
Publisher:	Elsevier
Subject:	Limit order \| Data analysis \| Exclusion particle models \| Hurst exponent

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010872007