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Abstract: We propose and study a simple stochastic model for the dynamics of a limit order book, in which arrivals of market order, limit orders and order cancellations are described in terms of a Mar...
Price dynamics in financial markets: a kinetic approach
Price dynamics financial markets kinetic approach
2010/10/21
The use of kinetic modelling based on partial differential equations for the dynamics of stock price formation in financial markets is briefly reviewed. The importance of behavioral aspects in market...
Tremor price dynamics in the world's network of stock exchanges
Tremor price dynamics stock exchanges
2010/11/3
We use insight from a model of earth techtonic plate movement to obtain a new understanding of
the build up and release of stress in the price dynamics of the world’s stock exchanges. Nonlinearity en...