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Table Of Contents

1 Introduction
2.1 Basic principles of diffusion controlled reactions
2.2 Applications of diffusion driven annihilation reactions
2.3 Uses of quantum field theory in diffusion-limited reactions
3.1 The minimal model
3.2 The two-liquid model
3.3 Dimensional analysis
3.4 Market parameters
3.5 The scaling laws
3.6 Analytical results
4.1 Description of simulation
4.2 Preliminary results for L = 200 using MINIMAL
4.3 Successive improvements to preliminary results
4.4 Encouraging results using MINIMAL for L = 1000 and T =
4.6 The Spr scaling law
4.7 The var(Spr) scaling law
4.8 Calculation of c for different values of L
4.9 MINIMAL1: a new method
4.10 MINIMAL1 in action
4.11 MINIMAL1 results
4.12 MINIMAL2: Cornell’s approach
4.13 The scaling law for NUM
4.14 Scaling law for τS
4.15 Scaling law for τreduced
4.16.1 ∆J dependence
4.16.2 J dependence
4.16.3 L dependence
4.16.4 Constant of proportionality
5.1 Variation of spread with fraction of market-order traders
5.2 More definite results for spread
6 Conclusion
7 Acknowledgements
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Numerical analysis of the Minimal and Two-Liquid models of the Market Microstructure

Numerical analysis of the Minimal and Two-Liquid models of the Market Microstructure

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Published by david_chan_59
Monte Carlo simulations of market microstructure
Monte Carlo simulations of market microstructure

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Categories:Types, Research
Published by: david_chan_59 on Mar 09, 2013
Copyright:Attribution Non-commercial

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03/09/2013

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