| Original Articles |
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Spread and Quote-Update Frequency of the Limit-Order Driven Sergei Maslov Model |
| QIU Tian;CHEN Guang |
| School of Electronic and Information Engineering, Nanchang Hangkong University, Nanchang 330063 |
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| Cite this article: |
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QIU Tian, CHEN Guang 2007 Chin. Phys. Lett. 24 2161-2163 |
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Abstract We perform numerical simulations of the limit-order driven Sergei Maslov (SM) model and investigate the probability distribution and autocorrelation function of the bid--ask spread S and the quote-update frequency U. For the probability distribution, the model successfully reproduces the power law decay of the spread and the exponential decay of the quote-update frequency. For the autocorrelation function, both the spread and the quote-update frequency of the model decay by a power law, which is consistent
with the empirical study. We obtain the power law exponent 0.54 for the spread, which is in good agreement with the real financial market.
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| Keywords:
02.60.Cb
05.45.Tp
05.65.+b
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Received: 24 March 2007
Published: 25 July 2007
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| PACS: |
02.60.Cb
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(Numerical simulation; solution of equations)
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05.45.Tp
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(Time series analysis)
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05.65.+b
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(Self-organized systems)
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