Uncertainty relations in models of market microstructure
Probability
2009-11-10 v2 Trading and Market Microstructure
Abstract
This paper presents a new interacting particle system and uses it as a spin model for financial market microstructure. The asymptotic analysis of this stochastic process exhibits a lower bound to the contemporaneous measurement of price and trading volume under the invariant measure in the `frozen' phase of the supercritical regime.
Cite
@article{arxiv.math/0409076,
title = {Uncertainty relations in models of market microstructure},
author = {Ted Theodosopoulos},
journal= {arXiv preprint arXiv:math/0409076},
year = {2009}
}
Comments
7 pages, 3 figures, presented at the 1st Bonzenfreies Colloquium on Market Dynamics and Quantitative Economics