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Analyzing and modeling 1+1d markets · Study

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ArticleAnalyzing and modeling 1+1d markets

Damien Challet2001

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Articlegreen2001

Analyzing and modeling 1+1d markets

Damien Challet · Robin B. Stinchcombe

138 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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Complex Systems and Time Series Analysis Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1997Fractals and Scaling in Finance 1995An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse 1997Price variations in a stock market with many agents 2000Simple model of a limit order-driven market 1999Toward a theory of marginally efficient markets 2001Price fluctuations from the order book perspective—empirical facts and a simple model

Cited by

2009How Markets Slowly Digest Changes in Supply and Demand 2013Limit order books 2005Quantifying fluctuations in market liquidity: Analysis of the bid-ask spread 2010Universal price impact functions of individual trades in an order-driven market 2004Fluctuations and Response in Financial Markets: The Subtle Nature of 'Random' Price Changes 2012An agent based model of the E-Mini S&P 500 applied to flash crash analysis 2012Zero intelligence in economics and finance 2014Financial Brownian particle in the critical order book fluid and Fluctuation-Dissipation theorems

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2004More Statistical Properties of Order Books and Price Impactpreprint · 5 shared references 2013Limit order booksarticle · 4 shared references 2012Zero intelligence in economics and financearticle · 4 shared references 2009Accelerated fluctuation analysis by graphic cards and complex pattern formation in financial marketsarticle · 4 shared references 2004Statistical Properties of Stock Order Books: Empirical Results and Modelspreprint · 4 shared references 2011Limit Order Bookspreprint · 4 shared references

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Year2001

Typearticle

Published2001-11-01

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations138

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/s0378-4371(01)00335-1

openalex_workW1493213957

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