Svorenčík, A.; Slanina, F. - In: The European Physical Journal B - Condensed Matter and … 57 (2007) 4, pp. 453-462
Inspired by order-book models of financial fluctuations, we investigate the Interacting gaps model, which is the schematic one-dimensional system mimicking the order-book dynamics. We find by simulations the power-law tail in return distribution, power-law decay of volatility autocorrelation...