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dc.contributor.authorWithanawasam, Rasika Men_NZ
dc.contributor.authorWhigham, Peter Aen_NZ
dc.contributor.authorCrack, Timothyen_NZ
dc.contributor.authorPremachandra, I Men_NZ
dc.date.available2011-04-07T03:05:14Z
dc.date.copyright2010-03en_NZ
dc.identifier.citationWithanawasam, R. M., Whigham, P. A., Crack, T., & Premachandra, I. M. (2010). An empirical investigation of the Maslov limit order market model (Information Science Discussion Papers Series No. 2010/04). University of Otago. Retrieved from http://hdl.handle.net/10523/853en
dc.identifier.urihttp://hdl.handle.net/10523/853
dc.description.abstractModeling of financial market data for detecting important market characteristics as well as their abnormalities plays a key role in identifying their behavior. Researchers have proposed different types of techniques to model market data. One such model proposed by Sergie Maslov, models the behavior of a limit order book. Being a very simple and interesting model, it has several drawbacks and limitations. This paper analyses the behavior of the Maslov model and proposes several variants of it to make the original Maslov model more realistic. The price signals generated from these models are analyzed by comparing with real life stock data and it was shown that the proposed variants of the Maslov model are more realistic than the original Maslov model.en_NZ
dc.format.mimetypeapplication/pdf
dc.publisherUniversity of Otagoen_NZ
dc.relation.ispartofseriesInformation Science Discussion Papers Seriesen_NZ
dc.subject.lcshHG Financeen_NZ
dc.subject.lcshQA76 Computer softwareen_NZ
dc.titleAn empirical investigation of the Maslov limit order market modelen_NZ
dc.typeDiscussion Paperen_NZ
dc.description.versionUnpublisheden_NZ
otago.bitstream.pages49en_NZ
otago.date.accession2010-04-21 00:53:07en_NZ
otago.schoolInformation Scienceen_NZ
otago.openaccessOpen
otago.place.publicationDunedin, New Zealanden_NZ
dc.identifier.eprints889en_NZ
otago.school.eprintsInformation Scienceen_NZ
otago.school.eprintsFinance & Quantitative Analysisen_NZ
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otago.relation.number2010/04en_NZ
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