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cond-mat.stat-mech1999★ 186 cited
Simple model of a limit order-driven market
Sergei Maslov
We introduce and study a simple model of a limit order-driven market. Traders in this model can either trade at the market price or place a limit order, i.e. an instruction to buy…
cond-mat.stat-mech1999★ 44 cited
1/f Noise and Long Configuration Memory in Bak-Tang-Wiesenfeld Models on Narrow Stripes
Sergei Maslov, Chao Tang, Yi-Cheng Zhang
We report our findings of an 1/f power spectrum for the total amount of sand in directed and undirected Bak-Tang-Wiesenfeld models confined on narrow stripes and driven locally. Th…