The interacting gaps model: Reconciling theoretical and numerical approaches to limit-order models

Lev Muchnik; Frantisek Slanina; Sorin Solomon

doi:10.1016/j.physa.2003.08.029

The interacting gaps model: Reconciling theoretical and numerical approaches to limit-order models

Lev Muchnik
, Frantisek Slanina
, Sorin Solomon^*

^*Corresponding author for this work

Research output: Contribution to journal › Conference article › peer-review

4 Scopus citations

Abstract

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	English
Pages (from-to)	232-239
Number of pages	8
Journal	Physica A: Statistical Mechanics and its Applications
Volume	330
Issue number	1-2
DOIs	https://doi.org/10.1016/j.physa.2003.08.029
State	Published - 1 Dec 2003
Event	Randomes and Complexity - Eilat, Israel Duration: 5 Jan 2003 → 9 Jan 2003

Bibliographical note

Funding 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.

Keywords

Econophysics
Limit order
Pareto
Power law
Zipf

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10.1016/j.physa.2003.08.029

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abstract = "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.",

keywords = "Econophysics, Limit order, Pareto, Power law, Zipf",

author = "Lev Muchnik and Frantisek Slanina and Sorin Solomon",

note = "Funding 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.; Randomes and Complexity ; Conference date: 05-01-2003 Through 09-01-2003",

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AU - Solomon, Sorin

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KW - Limit order

KW - Pareto

KW - Power law

KW - Zipf

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Y2 - 5 January 2003 through 9 January 2003

ER -

The interacting gaps model: Reconciling theoretical and numerical approaches to limit-order models

Abstract

Bibliographical note

Keywords

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