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 price over-diffusion in limit order markets is due to the non-equilibrium of...

We report a statistical analysis of the Island ECN (NASDAQ) order book. We determine the static and dynamic properties of this system, and then analyze them from a physicist's viewpoint using an equivalent particle system obtained by treating orders as massive particles and price as position. We...

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...

We report on a statistical analysis of the Island ECN (NASDAQ) order book. We determine the static and dynamic properties of this system, and then analyze them from a physicist's viewpoint using an equivalent particle system obtained by treating orders as massive particles and price as position....

Traffic examples from vehicular systems to socio- and micro-biological systems are used to illustrate features relevant for modelling. After some comments on linear flow the emphasis turns to collective traffic flow, as it is captured by driven lattice-based excluding-particle models. An...

The paper concerns processes on networks. The processes considered are linear and collective flow since they are the prime function of many real networks. The study has bearing on and how a network is probed by a process, and in particular how it may be categorised through its dynamic and...