2001/06/07 by Damien Challet, Robin Stinchcombe, R B Stinchcombe
Economics, Econometrics and Finance · Physics and Astronomy · #Complex Systems and Time Series Analysis #Financial Risk and Volatility Modeling #Theoretical and Computational Physics #cond-mat.dis-nn #cond-mat.stat-mech #q-fin.TR
paper · pdf · doi:10.1016/s0378-4371(01)00335-1
17 pages, 14 figures, small typos correction
arxiv created 2001/06/07 · openalex publication_date 2001/11/01 · arxiv updated 2009/11/30 · openalex created_date 2016/06/24 · openalex updated_date 2026/07/28
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.