We give a stochastic microscopic modelling of stock markets driven by continuous double auction. If we take into account the mimetic behavior of traders, when they place limit order, our virtual market shows the power-law tail of the distribution of returns with the exponent outside the Levy stable
β¦ LIBER β¦
The behavior of individual and aggregate stock prices
β Scribed by Hongjun Yan
- Book ID
- 107399506
- Publisher
- Springer-Verlag
- Year
- 2011
- Tongue
- English
- Weight
- 308 KB
- Volume
- 4
- Category
- Article
- ISSN
- 1862-9679
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