Analyzing and modelling 1+1d markets

Details Analyzing and modelling 1+1d markets Analyzing and modelling 1+1d markets

2001-06-06

arxiv.org/abs/cond-mat/0106114v2

Physics

Condensed Matter

Statistical Mechanics

17 pages, 14 figures, small typos correction

Scientific paper

10.1016/S0378-4371(01)00335-1

We report a statistical analysis of the Island ECN (NASDAQ) order book. We determine the static and dynamic properties of this system, and then analyze them from a physicist's viewpoint using an equivalent particle system obtained by treating orders as massive particles and price as position. We identify the fundamental dynamical processes, test existing particles models of such markets against our findings, and introduce a new model of limit order markets.

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