Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
977262 | Physica A: Statistical Mechanics and its Applications | 2006 | 8 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Andreas Krause,