Exclusion particle models of limit order financial markets
arXiv:cond-mat/0208025
Abstract
Using simple particle models of limit order markets, we argue that mid-term over-diffusive price behaviour is inherent to the very nature of these markets. Several rules for rate changes are considered. We obtain analytical results for bid-ask spread properties, Hurst plots and price increment correlation functions.
arXiv comment13 pages. Completely rewritten, new results added
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