Challet, Damien; Stinchcombe, Robin - In: Physica A: Statistical Mechanics and its Applications 324 (2003) 1, pp. 141-145
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...