Critical comparison of several order-book models for stock-market fluctuations |
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Authors: | F Slanina |
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Institution: | (1) Institute of Physics, Academy of Sciences of the Czech Republic, Na Slovance 2, 18221 Praha, Czech Republic and Center for Theoretical Study, Jilská 1, Prague, Czech Republic |
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Abstract: | Far-from-equilibrium models of interacting particles in one dimension
are used as a basis for modelling the stock-market
fluctuations. Particle types and their positions are interpreted as
buy and sel orders placed on a price axis in the order book. We
revisit some modifications of well-known models, starting with the
Bak-Paczuski-Shubik model. We look at the four decades old Stigler
model and investigate its variants. One of them is the simplified
version of the Genoa artificial market. The list of studied models is
completed by the models of Maslov and Daniels et al. Generically, in
all cases we
compare the return distribution, absolute return autocorrelation and
the value of the Hurst exponent. It turns out that none of the models
reproduces satisfactorily all the empirical data, but the most promising
candidates for further development are the Genoa artificial market and
the Maslov model with moderate order evaporation. |
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Keywords: | 89 65 -s Social and economic systems 05 40 -a Fluctuation phenomena random processes noise and Brownian motion 02 50 -r Probability theory stochastic processes and statistics |
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