Uncertainty relations in models of market microstructure

نویسنده

  • Ted Theodosopoulos
چکیده

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.

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تاریخ انتشار 2004