Maskawa, Jun-ichi - In: Physica A: Statistical Mechanics and its Applications 382 (2007) 1, pp. 172-178
We give a stochastic microscopic modelling of stock markets driven by continuous double auction. If we take into account the mimetic behavior of traders, when they place limit order, our virtual market shows the power-law tail of the distribution of returns with the exponent outside the Levy...