Exact Hurst exponent and crossover behavior in a limit order market model

Physica A: Statistical Mechanics and its Applications

Volumn 316, Issue 1-4, 2002, Pages 430-440

  Willmann, R D ^a,b   Schutz G M ^b   Challet, D ^c  

^a WEIZMANN INSTITUTE OF SCIENCE   (Israel)

^b FORSCHUNGSZENTRUM JÜLICH   (Germany)

^c Theoretical Physics   (United Kingdom)

Author keywords

Asymmetric exclusion process; Hurst exponent; KPZ equation; Limit order market

Indexed keywords

COMPUTER SIMULATION; DATA REDUCTION; ECONOMICS; PROBABILITY DISTRIBUTIONS; STATISTICAL MECHANICS;

EXCLUSION PARTICLE MODEL;

FINANCE;

EID: 0037114517     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(02)01217-7     Document Type: Article

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