Simple model of a limit order-driven market

被引：142
|
作者：
Maslov, S [1 ]
机构：
[1] Brookhaven Natl Lab, Dept Phys, Upton, NY 11973 USA
来源：
PHYSICA A | 2000年 / 278卷 / 3-4期
关键词：
The work at Brookhaven National Laboratory was supported by the US Department of Energy Division of Material Science; under contract DE-AC02-98CH10886. The author thanks Y.-C. Zhang for useful discussions; and the Institut de Physique Théorique; Université de Fribourg for the hospitality and financial support during the visit; when this work was started;
D O I：
10.1016/S0378-4371(00)00067-4
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
We introduce and study a simple model of a limit order-driven market. Traders in this model can either trade stock (or any other risky asset for that matter) at the market price or place a limit order, i.e., an instruction to buy (sell) a certain amount of the stock if its price falls below (raises above) a predefined level. The choice between these two options is purely random (there are no strategies involved), and the execution price of a limit order is determined simply by offsetting the most recent market price by a random amount. Numerical simulations of this model revealed that despite such minimalistic rules the price pattern generated by this model has such realistic features as "fat" tails of the probability distribution of price fluctuations, characterized by a crossover between two power law exponents, long range correlations of the volatility, and a non-trivial Hurst exponent of the price signal. (C) 2000 Elsevier Science B.V. All rights reserved.
引用
收藏
页码：571 / 578
页数：8
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