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Quantitative Finance Volume 9, 2009 - Issue 5
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Research Papers

Diffusive behavior and the modeling of characteristic times in limit order executions

Zoltán Eisler Science and Finance, Capital Fund Management, Paris, France; Department of Theoretical Physics, Budapest University of Technology and Economics, Budapest, HungaryCorrespondence[email protected]
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János Kertész Department of Theoretical Physics, Budapest University of Technology and Economics, Budapest, Hungary; Laboratory of Computational Engineering, Helsinki University of Technology, Espoo, Finland
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Fabrizio Lillo Dipartimento di Fisica e Tecnologie Relative, Università di Palermo, Viale delle Scienze, I-90128, Palermo, Italy; Santa Fe Institute, 1399 Hyde Park Road, Santa Fe, NM 87501, USA; CNR-INFM, Unità Operativa di Roma, Centro di Ricerca e Sviluppo SOFT, Roma, Italy
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Rosario N. Mantegna Dipartimento di Fisica e Tecnologie Relative, Università di Palermo, Viale delle Scienze, I-90128, Palermo, Italy; CNR-INFM, Unità Operativa di Roma, Centro di Ricerca e Sviluppo SOFT, Roma, Italy
Pages 547-563 | Received 30 Jan 2007, Accepted 24 Jul 2008, Published online: 18 Jun 2009

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