Non-constant rates and over-diffusive prices in a simple model of limit order markets
- 1 June 2003
- journal article
- Published by Taylor & Francis in Quantitative Finance
- Vol. 3 (3) , 155-162
- https://doi.org/10.1088/1469-7688/3/3/301
Abstract
Using simple particle models of limit order markets, we argue that the mid-term over-diffusive price behaviour is due to the variability of market order and limit order rates. Several rules for rate changes are considered. We obtain analytical results for bid-ask spread properties, Hurst plots and price increment correlation functions.Keywords
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