12 citations · 24 across the 2 of their papers we have counts for
2 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…