Analyzing and modeling 1+1d markets

被引：80

作者：

Challet, D ^{[1
]}

Stinchcombe, R ^{[1
]}

机构：

[1] Univ Oxford, Oxford OX1 3NP, England

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2001年 / 300卷 / 1-2期

关键词：

financial markets; Island ECN; order books; dynamics;

D O I：

10.1016/S0378-4371(01)00335-1

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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. We identify the fundamental dynamical processes, test existing particles models of such markets against our findings, and introduce a new model of limit order markets. (C) 2001 Elsevier Science B.V. All rights reserved.

引用

页码：285 / 299

页数：15

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