Dresden 2006 – wissenschaftliches Programm
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AKSOE: Physik sozio-ökonomischer Systeme
AKSOE 10: Poster Session (posters are expected to be displayed the full day 8:30-18:00)
AKSOE 10.8: Poster
Mittwoch, 29. März 2006, 16:00–18:00, P2
Interacting Gap Model — •Andrej Svorenčík1 and František Slanina2 — 1Dept. of Theoretical Physics and Didactics of Physics, Faculty of Mathematics, Physics and Informatics Comenius University, Mlynska Dolina, 842 48 Bratislava, Slovak Republic — 2Institute of Physics, Czech Academy of Sciences, Na Slovance 2, CZ-182 21 Prague, Czech Republic
The interacting gap model is one of the theoretical attempts to reconcile various numerical and theoretical results about the limit-order market models of financial markets. We firstly formulate a kinetic equation which describes the dynamics of this model. Secondly, numerical and partial analytical solution is provided. Lastly, we relate these new results to the power law tail of the return-distribution of stock-market fluctuations.