✦ LIBER ✦

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

✍ Scribed by Lev Muchnik; Frantisek Slanina; Sorin Solomon

Publisher: Elsevier Science
Year: 2003
Tongue: English
Weight: 230 KB
Volume: 330
Category: Article
ISSN: 0378-4371
DOI: 10.1016/j.physa.2003.08.029

No coin nor oath required. For personal study only.

✦ Synopsis

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.

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