12 citations
3 papers
physics.data-an2007★ 12 cited
Correlation of coming limit price with order book in stock markets
Jun-ichi Maskawa
We examine the correlation of the limit price with the order book, when a limit order comes. We analyzed the Rebuild Order Book of Stock Exchange Electronic Trading Service, which…
physics.comp-ph2006★ 12 cited
Stock price fluctuations and the mimetic behaviors of traders
Jun-ichi Maskawa
We give a stochastic microscopic modelling of stock markets driven by continuous double auction. If we take into account the mimetic behavior of traders, when they place limit orde…
cond-mat.stat-mech2001★ 7 cited
Ordered phase and non-equilibrium fluctuation in stock market
Jun-ichi Maskawa
We analyze the statistics of daily price change of stock market in the framework of a statistical physics model for the collective fluctuation of stock portfolio. In this model the…