Uncertainty relations in models of market microstructure

Details Uncertainty relations in models of market microstructure Uncertainty relations in models of market microstructure

2004-09-06

arxiv.org/abs/math/0409076v2

Mathematics

Probability

7 pages, 3 figures, presented at the 1st Bonzenfreies Colloquium on Market Dynamics and Quantitative Economics

Scientific paper

10.1016/j.physa.2005.02.085

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.

Affiliated with

Also associated with

No associations

Rating

Uncertainty relations in models of market microstructure does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Uncertainty relations in models of market microstructure, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Uncertainty relations in models of market microstructure will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-375154