Limit order market analysis and modelling: on an universal cause for over-diffusive prices
arXiv:cond-mat/0211082 · doi:10.1016/S0378-4371(02)01895-2
Abstract
We briefly review data analysis of the Island order book, part of NASDAQ, which suggests a framework to which all limit order markets should comply. Using a simple exclusion particle model, we argue that short-time price over-diffusion in limit order markets is due to the non-equilibrium of order placement, cancellation and execution rates, which is an inherent feature of real limit order markets.
6 pages, 3 figures. Contribution to the proceedings of Econophysics Bali Conference 2002