کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
977262 | 933182 | 2006 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Fat tails and multi-scaling in a simple model of limit order markets
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Fat tails and multi-scaling in a simple model of limit order markets Fat tails and multi-scaling in a simple model of limit order markets](/preview/png/977262.png)
چکیده انگلیسی
We use a simple model where traders submit limit orders which are cleared in a double auction market. The limit prices are set by traders randomly, for buyers around a long-term trend and for sellers in a narrow band around their purchase price. Orders which are not filled within a specific time frame are randomly assigned a new limit price. In this framework we find evidence for the endogenous emergence of fat tails in the distribution of returns and multi-scaling whose origin is attributed to the market structure.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 368, Issue 1, 1 August 2006, Pages 183-190
Journal: Physica A: Statistical Mechanics and its Applications - Volume 368, Issue 1, 1 August 2006, Pages 183-190
نویسندگان
Andreas Krause,