Exact Hurst exponent and crossover behavior in a limit order market model

This publication has 20 references indexed in Scilit:

• Microscopic models for long ranged volatility correlations
  Physica A: Statistical Mechanics and its Applications, 2001
• Stylized facts of financial markets and market crashes in Minority Games
  Physica A: Statistical Mechanics and its Applications, 2001
• From market games to real-world markets
  Zeitschrift für Physik B Condensed Matter, 2001
• From Minority Games to real markets
  Quantitative Finance, 2001
• Non-equilibrium price theories
  Physica A: Statistical Mechanics and its Applications, 2000
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
  Macroeconomic Dynamics, 2000
• Simple model of a limit order-driven market
  Physica A: Statistical Mechanics and its Applications, 2000
• Scaling and criticality in a stochastic multi-agent model of a financial market
  Nature, 1999
• Physicists attempt to scale the ivory towers of finance
  Computing in Science & Engineering, 1999
• Price variations in a stock market with many agents
  Physica A: Statistical Mechanics and its Applications, 1997