Multiagentbased Order Book Model of financial markets
Tobias Preis, Sebastian Golke, Wolfgang Paul, and Johannes J. Schneider Europhysics Letters 75, 510516 (2006) — We introduce a simple model for simulating financial markets, based on an order book, in which several agents trade one asset at a virtual exchange continuously. We show that a market trend, i.e. an asymmetric order flow of any type, leads to a nontrivial Hurst exponent for the price development, but not to "fattailed" return distributions. When one additionally couples the order entry depth to the prevailing trend, also the stylized empirical fact of "fat tails" can be reproduced by our Order Book Model.



Selected Publications in Econophysics and Interdisciplinary Physics in 2011
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Tseng J.J. & Li S.P., Asset returns and volatility clustering in financial time series, Physica A 390, 13001314 (2011)
Lan B.L. & Chandran P., Distribution of animal population fluctuations, Physica A 390, 12891294 (2011)
Takahashi T., Psychophysics of the probability weighting function, Physica A 390, 902905 (2011)
Qiu T., Chen G., Zhong L.X. & Lei X.W., Memory effect and multifractality of crosscorrelations in financial markets, Physica A 390, 828836 (2011)
Zunino L., Tabak B.M., Serinaldi F., Zanin M., Perez D.G. & Rosso O.A., Commodity predictability analysis with a permutation information theory approach, Physica A 390, 876890 (2011)
Lee S.Y., Hwang D.I., Kim M.J., Koh I.G. & Kim S.Y., Crosscorrelations in volume space: Differences between buy and sell volumes, Physica A 390, 837846 (2011)
Kim M.J., Kwak Y.B. & Kim S.Y., Dependence structure of the Korean stock market in high frequency data, Physica A 390, 891901 (2011)
Keskin M., Deviren B. & Kocakaplan Y., Topology of the correlation networks among major currencies using hierarchical structure methods, Physica A 390, 719730 (2011)
Eliazar I., The Pietra term structures of financial assets, Physica A 390, 699706 (2011)
Chami Figueira F., Moura Jr. N.J. & Ribeiro M.B., The GompertzPareto income distribution, Physica A 390, 689698 (2011)
Jang W., Lee J. & Chang W., Currency crises and the evolution of foreign exchange market: Evidence from minimum spanning tree, Physica A 390, 707718 (2011)
Yang C.X., Wu H.F., Zhang Y.C., Xia B.Y. & Itoh M., Phase synchronization detection of financial market crises, Modern Physics Letters B 25, 243254 (2011)
Ray R., Econophysics: Finance, economics and physics, Applied Economics Letters 18, 273277 (2011)
Bartiromo R., Shared information in the stock market, Quantitative Finance 11, 229235 (2011)
Forsyth P.A., A HamiltonJacobiBellman approach to optimal trade execution, Applied Numerical Mathematics 61, 241265 (2011)
Fernandez V., Spatial linkages in international financial markets, Quantitative Finance 11, 237245 (2011)
Breunig C. & Jones B.D., Stochastic process methods with an application to budgetary data, Political Analysis 19, 103117 (2011)
Mendes R.S., Ribeiro H.V., Freire F.C.M., Tateishi A.A. & Lenzi E.K., Universal patterns in sound amplitudes of songs and music genres, Physical Review E  Statistical, Nonlinear & Soft Matter Physics 83, 017101 (2011)
Iyetomi H., Nakayama Y., Aoyama H., Fujiwara Y., Ikeda Y. & Souma W., Fluctuationdissipation theory of inputoutput interindustrial relations, Physical Review E  Statistical, Nonlinear & Soft Matter Physics 83, 016103 (2011)
PellicerLostao C. & LopezRuiz R., Transition from exponential to power law income distributions in a chaotic market, International Journal of Modern Physics C 22, 2133 (2011)
Domino K., The use of the Hurst exponent to predict changes in trends on the Warsaw Stock Exchange, Physica A 390, 98109 (2011)
Benhabib J., Bisin A. & Zhu S., The Distribution of Wealth and Fiscal Policy in Economies With Finitely Lived Agents, Econometrica 79, 123157 (2011)
Buter R.K., Noyons Ed.C.M. & van Raan A.F.J., Searching for converging research using field to field citations, Scientometrics 86, 325338 (2011)
Choi J., Lim G., Kim S.Y. & Kim K., Information of groupcorrelations in Korean financial market, Computer Physics Communications 182, 219222 (2011)
Piccardi C., Calatroni L. & Bertoni F., Clustering financial time series by network community analysis, International Journal of Modern Physics C 22, 3550 (2011)