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• W1994852621 endingPage "016108" @default.
• W1994852621 startingPage "016108" @default.
• W1994852621 abstract "We recently introduced a realistic order book model [T. Preis, Europhys. Lett. 75, 510 (2006)] which is able to generate the stylized facts of financial markets. We analyze this model in detail, explain the consequences of the use of different groups of traders, and focus on the foundation of a nontrivial Hurst exponent based on the introduction of a market trend. Our order book model supports the theoretical argument that a nontrivial Hurst exponent implies not necessarily long-term correlations. A coupling of the order placement depth to the market trend can produce fat tails, which can be described by a truncated Lévy distribution." @default.
• W1994852621 created "2016-06-24" @default.
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• W1994852621 date "2007-07-01" @default.
• W1994852621 modified "2023-10-04" @default.
• W1994852621 title "Statistical analysis of financial returns for a multiagent order book model of asset trading." @default.
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• W1994852621 doi "https://doi.org/10.1103/physreve.76.016108" @default.
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