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Modelling Limit Order Financial Markets

  • Robin Stinchcombe
Conference paper
Part of the New Economic Windows book series (NEW)

Summary

Financial markets are collective systems with out of equilibrium stochastic dynamics. Of these, the simplest is the limit order market, where an order book records placement and removal of orders to buy or sell, and their settlement. Such systems can be modelled by regarding the orders as depositing, evaporating or annihilating, at prescribed rates, on a price axis. The construction and analysis of such models and their properties and limitations will be discussed here, starting from available electronic temporal limit order market data. This makes it possible to infer the stochastic dynamic processes which operate in real markets and how their rates are connected between themselves and to the market condition. Analytic analysis for steady state profiles and price evolution of such models will be outlined. A concluding discussion reviews the work and raises further issues.

Keywords

Limit Order Order Book Order Size Volatility Cluster Minority Game 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Italia 2006

Authors and Affiliations

  • Robin Stinchcombe
    • 1
  1. 1.Rudolf Peierls Centre for Theoretical PhysicsOxford UniversityOxfordUK

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