Muchnik, Lev; Slanina, Frantisek; Solomon, Sorin - In: Physica A: Statistical Mechanics and its Applications 330 (2003) 1, pp. 232-239
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...