Analyzing and modeling 1+1d markets

Damien Challet and Robin Stinchcombe

Physica A: Statistical Mechanics and its Applications, 2001, vol. 300, issue 1, 285-299

Abstract: 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.

Keywords: Financial markets; Island ECN; Order books; Dynamics (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (32)

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Working Paper: Analyzing and modelling 1+1d markets (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:300:y:2001:i:1:p:285-299

DOI: 10.1016/S0378-4371(01)00335-1

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