Physics – Condensed Matter – Statistical Mechanics
Scientific paper
2002-06-24
Physica A 316, 430 (2002)
Physics
Condensed Matter
Statistical Mechanics
13 pages, 10 figures, accepted for publication in Physica A
Scientific paper
10.1016/S0378-4371(02)01217-7
An exclusion particle model is considered as a highly simplified model of a limit order market. Its price behavior reproduces the well known crossover from over-diffusion (Hurst exponent H>1/2) to diffusion (H=1/2) when the time horizon is increased, provided that orders are allowed to be canceled. For early times a mapping to the totally asymmetric exclusion process yields the exact result H=2/3 which is in good agreement with empirical data. The underlying universality class of the exclusion process suggests some robustness of the exponent with respect to changes in the trading rules. In the crossover regime the Hurst plot has a scaling property where the bulk deposition/cancellation rate is the critical parameter. Analytical results are fully supported by numerical simulations.
Challet Damien
Schuetz Gunter M.
Willmann Richard D.
No associations
LandOfFree
Exact Hurst exponent and crossover behavior in a limit order market model does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with Exact Hurst exponent and crossover behavior in a limit order market model, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Exact Hurst exponent and crossover behavior in a limit order market model will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-2748