The interacting gaps model: reconciling theoretical and numerical approaches to limit-order models

We consider the emergence of power-law tails in the returns distribution of limit-order driven markets. We explain a previously observed clash between the theoretical and numerical studies of such models. We introduce a solvable model that interpolates between the previous studies and agrees with each of them in the relevant limit.

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Year of publication:	2003
Authors:	Muchnik, Lev ; Slanina, Frantisek ; Solomon, Sorin
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 330.2003, 1, p. 232-239
Publisher:	Elsevier
Subject:	Econophysics \| Power law \| Zipf \| Pareto \| Limit order

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

Persistent link: https://www.econbiz.de/10010591691