Iori, G.; Daniels, M.G.; Farmer, J.D.; Gillemot, L.; … - In: Physica A: Statistical Mechanics and its Applications 324 (2003) 1, pp. 146-151
We introduce a microscopic model of double-auction markets based on random order placement. Traders post market or limit orders which are stored in the book of the exchange and executed via a central order matching mechanism. We use dimensional analysis, simulations and analytical approximations...