Non-constant rates and over-diffusive prices in a simple model of limit order markets

Damien Challet and Robin Stinchcombe

Quantitative Finance, 2003, vol. 3, issue 3, 155-162

Abstract: 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 and price increment correlation functions.

Date: 2003
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Citations: View citations in EconPapers (14)

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DOI: 10.1088/1469-7688/3/3/301

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