摘要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.
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.
QIU Tian;CHEN Guang. Spread and Quote-Update Frequency of the Limit-Order Driven Sergei Maslov Model[J]. 中国物理快报, 2007, 24(8): 2161-2163.
QIU Tian, CHEN Guang. Spread and Quote-Update Frequency of the Limit-Order Driven Sergei Maslov Model. Chin. Phys. Lett., 2007, 24(8): 2161-2163.
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2007, Vol. 24 
