Short-term equity dynamics and endogenous market fluctuations
概率论
2008-12-02 v2 动力系统
最优化与控制
统计金融
摘要
We present a model that investigates the spontaneous emergence of randomness in equity market microstructure. The phase space analysis of our model exposes an endogenous source of fluctuation in price and volume. We formulate a control problem for maximizing price regularity and stability while minimizing entanglement with the market, representing the NYSE specialists' affirmative obligation to maintain `fair and orderly markets'.
引用
@article{arxiv.math/0406067,
title = {Short-term equity dynamics and endogenous market fluctuations},
author = {Ted Theodosopoulos and Muffasir Badshah},
journal= {arXiv preprint arXiv:math/0406067},
year = {2008}
}
备注
6 pages, 9 figures, to be presented at the Special Session on Models for Financial Market Microstructure at the 2nd IASTED International Conference on Financial Engineering and Applications