For an intriguing variety of switching processes in nature, the underlying complex system abruptly changes from one state to another in a highly discontinuous fashion. Financial market fluctuations are characterized by many abrupt switchings creating upward trends and downward trends, on time...

We introduce a simple model for simulating financial markets, based on an order book, in which several agents trade one asset at a virtual exchange continuously. For a stationary market the structure of the model, the order flow rates of the different kinds of order types and the used price time...