The interacting gaps model: reconciling theoretical and numerical approaches to limit-order models

Lev Muchnik, Frantisek Slanina and Sorin Solomon

Physica A: Statistical Mechanics and its Applications, 2003, vol. 330, issue 1, 232-239

Abstract: 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 with each of them in the relevant limit.

Keywords: Econophysics; Power law; Zipf; Pareto; Limit order (search for similar items in EconPapers)
Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:330:y:2003:i:1:p:232-239

DOI: 10.1016/j.physa.2003.08.029

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