Tobias Preis, Sebastian Golke, Wolfgang Paul, and Johannes J. Schneider Europhysics Letters 75, 510-516 (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 non-trivial Hurst exponent for the price development, but not to "fat-tailed" 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 2005

[1999] [2000] [2001] [2002] [2003] [2004] [2005] [2006] [2007] [2008] [2009] [2010] [2011]

Tedeschi A., De Martino A. & Giardina I., Coordination, intermittency and trends in generalized minority games, Physica A 358, 529-544 (2005)

Anteneodo C., Non-extensive random walks, Physica A 358, 289-298 (2005)

Sornette D. & Zhou W.-X., Non-parametric determination of real-time lag structure between two time series: The 'optimal thermal causal path' method, Quantitative Finance 5, 577-591 (2005)

Matia K. & Yamasaki K., Statistical properties of demand fluctuation in the financial market, Quantitative Finance 5, 513-517 (2005)

Plerou V., Gopikrishnan P. & Stanley H.E., Two phase behaviour and the distribution of volume, Quantitative Finance 5, 519-521 (2005)

Munoz-Diosdado A., Guzman-Vargas L., Ramirez-Rojas A., Del Rio-Correa J.L. & Angulo-Brown F., Some cases of crossover behavior in heart interbeat and electroseismic time series, Fractals 13, 253-263 (2005)

Hung S.-S., Kuo T.-C. & Liu D.S.-M., An efficient clustering algorithm for patterns placement in walkthrough system, Journal of Intelligent Manufacturing 16, 587-597 (2005)

Ferreira F.F., De Oliveira V.M., Crepaldi A.F. & Campos P.R.A., Agent-based model with heterogeneous fundamental prices, Physica A 357, 534-542 (2005)

Yook S.H. & De Menezes M.A., Fluctuation of incoming flux with multiplicative noise on a scale-free network, Europhysics Letters 72, 541-547 (2005)

Cajueiro D.O. & Tabak B.M., The rescaled variance statistic and the determination of the Hurst exponent, Mathematics and Computers in Simulation 70, 172-179 (2005)

Wang S. & Zhang C., Price formation based on particle-cluster aggregation, International Journal of Modern Physics C 16, 1803-1810 (2005)

Montero M., Perello J., Masoliver J., Lillo F., Micciche S. & Mantegna R.N., Scaling and data collapse for the mean exit time of asset prices, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 72, 056101 (2005)

Velupillai K.V., The unreasonable ineffectiveness of mathematics in economics, Cambridge Journal of Economics 29, 849-872 (2005)

Chakraborti A. & Santhanam M.S., Financial and other spatio-temporal time series: Long-range correlations and spectral properties, International Journal of Modern Physics C 16, 1733-1743 (2005)

Gordon M.B., Nadal J.-P., Phan D. & Vannimenus J., Seller's dilemma due to social interactions between customers, Physica A 356, 628-640 (2005)

Repetowicz P., Hutzler S. & Richmond P., Dynamics of money and income distributions, Physica A 356, 641-654 (2005)

Norouzzadeh P. & Jafari G.R., Application of multifractal measures to Tehran price index, Physica A 356, 609-627 (2005)

Laguna M.F., Gusman S.R. & Iglesias J.R., Economic exchanges in a stratified society: End of the middle class?, Physica A 356, 107-113 (2005)

McDonald M., Suleman O., Williams S., Howison S. & Johnson N.F., Detecting a currency's dominance or dependence using foreign exchange network trees, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 72, 046106 (2005)

Bartolozzi M., Leinweber D.B. & Thomas A.W., Stochastic opinion formation in scale-free networks, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 72, 046113 (2005)

Kim D.-H. & Jeong H., Systematic analysis of group identification in stock markets, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 72, 046133 (2005)

Keshet U. & Hod S., Survival probabilities of history-dependent random walks, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 72, 046144 (2005)

Lo C.F., Exact solutions of the Fokker-Planck equations with moving boundaries, Annals of Physics 319, 326-332 (2005)

Jaroszewicz S., Mariani M.C. & Ferraro M., Long correlations and truncated Levy walks applied to the study Latin-American market indices, Physica A 355, 461-474 (2005)

Wei Y. & Huang D., Multifractal analysis of SSEC in Chinese stock market: A different empirical result from Heng Seng index, Physica A 355, 497-508 (2005)

Turiel A. & Perez-Vicente C.J., Role of multifractal sources in the analysis of stock market time series, Physica A 355, 475-496 (2005)

Galla T., Statistical mechanics of dilute batch minority games with random external information, Journal of Statistical Mechanics , 15-36 (2005)

Hawkins R.J., Frieden B.R. & D'Anna J.L., Ab initio yield curve dynamics, Physics Letters, Section A 344, 317-323 (2005)

Simonsen I., Volatility of power markets, Physica A 355, 10-20 (2005)

Di Matteo T., Aste T., Hyde S.T. & Ramsden S., Interest rates hierarchical structure, Physica A 355, 21-33 (2005)

Garlaschelli D. & Loffredo M.I., Structure and evolution of the world trade network, Physica A 355, 138-144 (2005)

Palatella L., Perello J., Montero M. & Masoliver J., Diffusion Entropy technique applied to the study of the market activity, Physica A 355, 131-137 (2005)

Bermin H.-P., Kohatsu-Higa A. & Perello J., Hints for an extension of the early exercise premium formula for American options, Physica A 355, 152-157 (2005)

Bartolozzi M., Drozdz S., Leinweber D.B., Speth J. & Thomas A.W., Self-similar log-periodic structures in western stock markets from 2000, International Journal of Modern Physics C 16, 1347-1361 (2005)

Garcia R., Uses of agent-based modeling in innovation/new product development research, Journal of Product Innovation Management 22, 380-398 (2005)

Maslov V.P., Nonlinear averages in economics, Mathematical Notes 78, 347-363 (2005)

McCauley J.L., Making dynamic modeling effective in economics, Physica A 355, 1-9 (2005)

Dindo P., A tractable evolutionary model for the Minority Game with asymmetric payoffs, Physica A 355, 110-118 (2005)

Sazuka N., Non-linear logit models for high-frequency data analysis, Physica A 355, 183-189 (2005)

Raberto M. & Cincotti S., Modeling and simulation of a double auction artificial financial market, Physica A 355, 34-45 (2005)

Frieden B.R. & Gatenby R.A., Power laws of complex systems from extreme physical information, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 72, 036101 (2005)

Ormerod P., Complexity and the limits to knowledge, Futures 37, 721-728 (2005)

Bordley R.F., Econophysics and individual choice, Physica A 354, 479-495 (2005)

Wang S. & Zhang C., Microscopic model of financial markets based on belief propagation, Physica A 354, 496-504 (2005)

Coronel-Brizio H.F. & Hernandez-Montoya A.R., On fitting the Pareto-Levy distribution to stock market index data: Selecting a suitable cutoff value, Physica A 354, 437-449 (2005)

Telesca L., Lapenna V. & MacChiato M., Multifractal fluctuations in seismic interspike series, Physica A 354, 629-640 (2005)

Cross R., Grinfeld M., Lamba H. & Seaman T., A threshold model of investor psychology, Physica A 354, 463-478 (2005)

Kitt R. & Kalda J., Scaling analysis of multi-variate intermittent time series, Physica A 353, 480-492 (2005)

Strozzi F. & Zaldivar J.M., Non-linear forecasting in high-frequency financial time series, Physica A 353, 463-479 (2005)

Zhou W.-X. & Yuan W.-K., Inverse statistics in stock markets: Universality and idiosyncracy, Physica A 353, 433-444 (2005)

Coelho R., Neda Z., Ramasco J.J. & Santos A.M., A family-network model for wealth distribution in societies, Physica A 353, 515-528 (2005)

Takaishi T., Simulations of financial markets in a Potts-like model, International Journal of Modern Physics C 16, 1311-1317 (2005)

Dremin I.M. & Leonidov A.V., On distribution of number of trades in different time windows in the stock market, Physica A 353, 388-402 (2005)

Das A. & Yarlagadda S., An analytic treatment of the Gibbs-Pareto behavior in wealth distribution, Physica A 353, 529-538 (2005)

Groot R.D., Levy distribution and long correlation times in supermarket sales, Physica A 353, 501-514 (2005)

Chatterjee A., Chakrabarti B.K. & Stinchcombe R.B., Master equation for a kinetic model of a trading market and its analytic solution, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 72, 026126 (2005)

Queiros S.M.D., On the emergence of a generalised Gamma distribution. Application to traded volume in financial markets, Europhysics Letters 71, 339-345 (2005)

Yan C., Zhang J.W., Zhang Y. & Tang Y.N., Power-law properties of Chinese stock market, Physica A 353, 425-432 (2005)

Anteneodo C. & Riera R., Additive-multiplicative stochastic models of financial mean-reverting processes, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 72, 026106 (2005)

Zhong L.-X., Zheng D.-F., Zheng B. & Hui P.M., Effects of contrarians in the minority game, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 72, 026134 (2005)

Weber P. & Rosenow B., Order book approach to price impact, Quantitative Finance 5, 357-364 (2005)

Malevergne Y., Pisarenko V. & Sornette, Empirical distributions of stock returns: Between the stretched exponential and the power law?, Quantitative Finance 5, 379-401 (2005)

Lim M. & Coggins R., The immediate price impact of trades on the Australian stock exchange, Quantitative Finance 5, 365-377 (2005)

Berardi L. & Serva M., Time and foreign exchange markets, Physica A 353, 403-412 (2005)

Melnyk S.S., Usatenko O.V., Yampol'skii V.A. & Golick V.A., Competition between two kinds of correlations in literary texts, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 72, 026140 (2005)

Tumminello M., Aste T., Di Matteo T. & Mantegna R.N., A tool for filtering information in complex systems, Proceedings of the National Academy of Sciences of the United States of America 102, 10421-10426 (2005)

Batten J.A., Ellis C.A. & Hogan W.P., Decomposing intraday dependence in currency markets: Evidence from the AUD/USD spot market, Physica A 352, 558-572 (2005)

Linden M., Estimating the distribution of volatility of realized stock returns and exchange rate changes, Physica A 352, 573-583 (2005)

Cordier S., Pareschi L. & Toscani G., On a kinetic model for a simple market economy, Journal of Statistical Physics 120, 253-277 (2005)

Yamasaki K., Muchnik L., Havlin S., Bunde A. & Stanley H.E., Scaling and memory in volatility return intervals in financial markets, Proceedings of the National Academy of Sciences of the United States of America 102, 9424-9428 (2005)

Da Silva S., Matsushita R., Gleria I., Figueiredo A. & Rathie P., International finance, Levy distributions & the econophysics of exchange rates, Communications in Nonlinear Science and Numerical Simulation 10, 365-393 (2005)

Bonanno G. & Spagnolo B., Escape times in stock markets, Fluctuation and Noise Letters 5, - (2005)

Westerhoff F.H., Consumer behavior and fluctuations in economic activity, Advances in Complex Systems 8, 209-215 (2005)

Wong K.Y.M., Lim S.W. & Gao Z., Effects of diversity on multiagent systems: Minority games, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 71, 066103 (2005)

Lillo F. & Farmer J.D., The key role of liquidity fluctuations in determining large price changes, Fluctuation and Noise Letters 5, - (2005)

Bouchaud J.-P., The subtle nature of financial random walks, Chaos 15, 1-10 (2005)

Durlauf S.N., Complexity and empirical economics, Economic Journal 115, - (2005)

Shubik M., A double auction market: Teaching, experiment & theory, Simulation and Gaming 36, 166-182 (2005)

Schulz B.M., Trimper S. & Schulz M., Feedback-controlled diffusion: From self-trapping to true self-avoiding walks, Physics Letters, Section A 339, 224-231 (2005)

Sadtchenko K., The pyramidal life cycle of economic structures, Physica A 350, 475-486 (2005)

Bartolozzi M., Leinweber D.B. & Thomas A.W., Self-organized criticality and stock market dynamics: An empirical study, Physica A 350, 451-465 (2005)

Groot R.D. & Musters P.A.D., Minority Game of price promotions in fast moving consumer goods markets, Physica A 350, 533-547 (2005)

Li M., Fan Y., Chen J., Gao L., Di Z. & Wu J., Weighted networks of scientific communication: The measurement and topological role of weight, Physica A 350, 643-656 (2005)

Garlaschelli D., Battiston S., Castri M., Servedio V.D.P. & Caldarelli G., The scale-free topology of market investments, Physica A 350, 491-499 (2005)

Fedotov S. & Tan A., Long memory stochastic volatility in option pricing, International Journal of Theoretical and Applied Finance 8, 381-392 (2005)

Zhou T. & Wang B.-H., Catastrophes in scale-free networks, Chinese Physics Letters 22, 1072-1075 (2005)

Kaulakys B., Gontis V. & Alaburda M., Point process model of 1/f noise vs a sum of Lorentzians, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 71, 051105 (2005)

Ishikawa A., Pareto law and Pareto index in the income distribution of Japanese companies, Physica A 349, 597-608 (2005)

Westerhoff F. & Reitz S., Commodity price dynamics and the nonlinear market impact of technical traders: Empirical evidence for the US corn market, Physica A 349, 641-648 (2005)

Krawiecki A., Microscopic spin model for the stock market with attractor bubbling and heterogeneous agents, International Journal of Modern Physics C 16, 549-559 (2005)

Gatti D.D., Di Guilmi C., Gaffeo E., Giulioni G., Gallegati M. & Palestrini A., A new approach to business fluctuations: Heterogeneous interacting agents, scaling laws and financial fragility, Journal of Economic Behavior and Organization 56, 489-512 (2005)

Telesca L., Colangelo G., Lapenna V. & Macchiato M., Fractal approaches in investigating the time dynamics of self-potential hourly variability, International Journal of Earth Sciences 94, 285-300 (2005)

Zhou T., Yan G. & Wang B.-H., Maximal planar networks with large clustering coefficient and power-law degree distribution, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 71, 046141 (2005)

Lo C.F., Exact solutions of nonlinear Fokker-Planck equations of the Desai-Zwanzig type, Physics Letters, Section A 336, 141-144 (2005)

Fort H. & Perez N., Economic demography in fuzzy spatial dilemmas and power laws, European Physical Journal B 44, 109-113 (2005)

Platkowski T. & Ramsza M., Multimarket minority game, Advances in Complex Systems 8, 65-74 (2005)

Ebrahim Fouladvand M. & Darooneh A.H., Premium forecasting of an insurance company: Automobile insurance, International Journal of Modern Physics C 16, 377-387 (2005)

Duarte Queiros S.M. & Tsallis C., Bridging a paradigmatic financial model and nonextensive entropy, Europhysics Letters 69, 893-899 (2005)

Wright I., The social architecture of capitalism, Physica A 346, 589-620 (2005)

Bertram W.K., A threshold model for Australian Stock Exchange equities, Physica A 346, 561-576 (2005)

Broekstra G., Sornette D. & Zhou W.-X., Bubble, critical zone and the crash of Royal Ahold, Physica A 346, 529-560 (2005)

Koverda V.P. & Skokov V.N., The origin of 1/f fluctuations and scale transformations of time series at nonequilibrium phase transitions, Physica A 346, 203-216 (2005)

Farmer J.D., Patelli P. & Zovko I.I., The predictive power of zero intelligence in financial markets, Proceedings of the National Academy of Sciences of the United States of America 102, 2254-2259 (2005)

Aste T., Di Matteo T. & Hyde S.T., Complex networks on hyperbolic surfaces, Physica A 346, 20-26 (2005)

Hayward S., The role of heterogeneous agents' past and forward time horizons in formulating computational models, Computational Economics 25, 25-40 (2005)

Hetland M.L. & Saetrom P., Evolutionary rule mining in time series databases, Machine Learning 58, 107-125 (2005)

Boginski V., Butenko S. & Pardalos P.M., Statistical analysis of financial networks, Computational Statistics and Data Analysis 48, 431-443 (2005)

Yan G., Zhou T., Wang J., Fu Z.-Q. & Wang B.-H., Epidemic spread in weighted scale-free networks, Chinese Physics Letters 22, 510-513 (2005)

Murtagh F., Identifying the ultrametricity of time series, European Physical Journal B 43, 573-579 (2005)

Eisler Z., Kertesz J., Yook S.-H. & Barabasi A.-L., Multiscaling and non-universality in fluctuations of driven complex systems, Europhysics Letters 69, 664-670 (2005)

Kitt R. & Kalda J., Properties of low-variability periods in financial time series, Physica A 345, 622-634 (2005)

Hohnisch M., Pittnauer S., Solomon S. & Stauffer D., Socioeconomic interaction and swings in business confidence indicators, Physica A 345, 646-656 (2005)

Wright I., The duration of recessions follows an exponential not a power law, Physica A 345, 608-610 (2005)

Ferreira F.F. & Marsili M., Real payoffs and virtual trading in agent based market models, Physica A 345, 657-675 (2005)

Cajueiro D.O. & Tabak B.M., Possible causes of long-range dependence in the Brazilian stock market, Physica A 345, 635-645 (2005)

Wang P., Wang S.-J. & Zhang H., Generalized Fokker-Planck equation with time-dependent transport coefficients and a quadratic potential: Its application in econophysics, Chinese Physics Letters 22, 5-8 (2005)

Piotrowski E.W. & Sladkowski J., Quantum diffusion of prices and profits, Physica A 345, 185-195 (2005)

Darooneh A.H., Nonlife insurance pricing: Statistical mechanics viewpoint, International Journal of Modern Physics C 16, 167-175 (2005)

Chen Z., Hu K., Carpena P., Bernaola-Galvan P., Stanley H.E. & Ivanov P.Ch., Effect of nonlinear filters on detrended fluctuation analysis, Physical Review E - Statistical, Nonlinear & Soft Matter Physics 71, 011104 (2005)

Frey E. & Kroy K., Brownian motion: A paradigm of soft matter and biological physics, Annalen der Physik (Leipzig) 14, 20-50 (2005)

Karuppiah J. & Los C.A., Wavelet multiresolution analysis of high-frequency Asian FX rates, Summer 1997, International Review of Financial Analysis 14, 211-246 (2005)

Basalto N., Bellotti R., De Carlo F., Facchi P. & Pascazio S., Clustering stock market companies via chaotic map synchronization, Physica A 345, 196-206 (2005)

Narasimhan S.L., Nathan J.A. & Murthy K.P.N., Can coarse-graining introduce long-range correlations in a symbolic sequence?, Europhysics Letters 69, 22-28 (2005)