著者

宮崎文吾 みやざきぶんご Bungo MIYAZAKI

巻号頁・発行日

vol.1, pp.1-7, 2014-11-12

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We constructed a basic order-book model which is based on the Maslov model and includessome empirical results such as distributions of order volume. Although this basic model succussfulyreproduces power law distributions of price changes, the market price greatly oscillates and the Hurstexponent of this model is much smaller than that of real data. In order to resolve this problem, we revisedthe basic ordre-book model by adding the effect that the selection probability of order types (i.e. marketorder, limit order and cancel) depens on the bid-ask spread. Our revised model still reproduces power lawdistributions of price changes and the Hurst exponet is improved.