Non-constant rates and over-diffusive prices in a simple model of limit order markets

Using simple particle models of limit order markets, we argue that the mid-term over-diffusive price behaviour is due to the variability of market order and limit order rates. Several rules for rate changes are considered. We obtain analytical results for bid-ask spread properties, Hurst plots and price increment correlation functions.

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Year of publication:	2003
Authors:	Challet, Damien ; Stinchcombe, Robin
Published in:	Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 3.2003, 3, p. 155-162
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009208292