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Zero Intelligence Model for the Order Book Dynamics

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Complexity in Financial Markets

Part of the book series: Springer Theses ((Springer Theses))

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Abstract

In this chapter we study the price response function in presence of liquidity crisis from a theoretical point of view and to appropriately address this problem we introduce a model with a suitable microscopic dynamics.

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Notes

  1. 1.

    We know that this assumption, reasonable for the present study, is far to be realistic from the moment that analysis of real order books have shown that the lifetime of a limit order increases monotonically with its distance from the mid-price [4, 5].

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Authors and Affiliations

  1. ISC-CNR, Istituto dei Sistemi Complessi, Department of Physics, “Sapienza”, Università di Roma, Piazzale Aldo Moro 5, 00185, Rome, Italy

    Matthieu Cristelli

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  1. Matthieu Cristelli
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Correspondence to Matthieu Cristelli .

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Cristelli, M. (2014). Zero Intelligence Model for the Order Book Dynamics. In: Complexity in Financial Markets. Springer Theses. Springer, Cham. https://doi.org/10.1007/978-3-319-00723-6_6

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