Short-term equity dynamics and endogenous market fluctuations

Details Short-term equity dynamics and endogenous market fluctuations Short-term equity dynamics and endogenous market fluctuations

2004-06-03

arxiv.org/abs/math/0406067v2

Mathematics

Probability

6 pages, 9 figures, to be presented at the Special Session on Models for Financial Market Microstructure at the 2nd IASTED Int

Scientific paper

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'.

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