Critical comparison of several order-book models for stock-market fluctuations

@article{Slanina2008CriticalCO,
  title={Critical comparison of several order-book models for stock-market fluctuations},
  author={Frantisek Slanina},
  journal={The European Physical Journal B},
  year={2008},
  volume={61},
  pages={225-240}
}
  • Frantisek Slanina
  • Published 2008
  • Economics, Physics
  • The European Physical Journal B
  • Abstract.Far-from-equilibrium models of interacting particles in one dimension are used as a basis for modelling the stock-market fluctuations. Particle types and their positions are interpreted as buy and sel orders placed on a price axis in the order book. We revisit some modifications of well-known models, starting with the Bak-Paczuski-Shubik model. We look at the four decades old Stigler model and investigate its variants. One of them is the simplified version of the Genoa artificial… CONTINUE READING

    Citations

    Publications citing this paper.
    SHOWING 1-10 OF 32 CITATIONS

    FILTER CITATIONS BY YEAR

    2009
    2018

    CITATION STATISTICS

    • 1 Highly Influenced Citations

    References

    Publications referenced by this paper.
    SHOWING 1-7 OF 7 REFERENCES

    ) . 45 . G . J . Stigler

    • V. Plerou
    • The Journal of Business
    • 2003

    The Complex Network of Economic Interactions, eds

    • E. Scalas, in
    • A. Namatame, T. Kaizouji, and Y. Aruka, 3
    • 2006
    VIEW 2 EXCERPTS

    The Complex Network of Economic Interactions, eds

    • S. Cincotti, S. M. Focardi, +3 authors in
    • A. Namatame, T. Kaizouji, and Y. Aruka, 239
    • 2006