Mean-field approximation for a limit order driven market model

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  • 27 April 2001
Abstract
The mean-field variant of the model of limit order driven market introduced by Maslov (S. Maslov, Physica A {\bf 278}, 571 (2000).) is formulated and solved. The agents do not have any strategies and the memory of the system is kept within the order book. The model is reduced essentially on a matrix multiplicative process. The distribution of price changes has a power-law tail with exponent 2. The experimentally observed negative autocorrelation of the price signal for very short time is reproduced within our model.

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