We consider the emergence of power-law tails in the returns distribution of limit-order driven markets. We explain a previously observed clash between the theoretical and numerical studies of such models. We introduce a solvable model that interpolates between the previous studies and agrees with each of them in the relevant limit.
|Original language||American English|
|Number of pages||8|
|Journal||Physica A: Statistical Mechanics and its Applications|
|State||Published - 1 Dec 2003|
|Event||Randomes and Complexity - Eilat, Israel|
Duration: 5 Jan 2003 → 9 Jan 2003
Bibliographical noteFunding Information:
This work was supported by the Grant Agency of the Czech Republic, project No. 202/01/1091. This research was supported in part by the Israeli Science Foundation.
- Limit order
- Power law