Critical comparison of several order-book models for stock-market fluctuations
Institute of Physics, Academy of Sciences of the Czech Republic, Na Slovance 2, 18221 Praha, Czech Republic and Center for Theoretical Study, Jilská 1, Prague, Czech Republic
Corresponding author: a email@example.com
Revised: 4 January 2008
Published online: 16 February 2008
Far-from-equilibrium models of interacting particles in one dimension are used as a basis for modelling the stock-market fluctuations. Particle types and their positions are interpreted as buy and sel orders placed on a price axis in the order book. We revisit some modifications of well-known models, starting with the Bak-Paczuski-Shubik model. We look at the four decades old Stigler model and investigate its variants. One of them is the simplified version of the Genoa artificial market. The list of studied models is completed by the models of Maslov and Daniels et al. Generically, in all cases we compare the return distribution, absolute return autocorrelation and the value of the Hurst exponent. It turns out that none of the models reproduces satisfactorily all the empirical data, but the most promising candidates for further development are the Genoa artificial market and the Maslov model with moderate order evaporation.
PACS: 89.65.-s – Social and economic systems / 05.40.-a – Fluctuation phenomena, random processes, noise, and Brownian motion / 02.50.-r – Probability theory, stochastic processes, and statistics
© EDP Sciences, Società Italiana di Fisica, Springer-Verlag, 2008