Exclusion particle models of limit order financial markets

Damien Challet, Robin Stinchcombe¶

Using simple particle models of limit order markets, we argue that mid-term over-diffusive price behaviour is inherent to the very nature of these markets. Several rules for rate changes are considered. We obtain analytical results for bid-ask spread properties, Hurst plots and price increment correlation functions.

Published by arXiv.org on 8/1/2004

Exclusion particle models of limit order financial markets