Uncertainty relations in models of market microstructure
نویسندگان
چکیده
منابع مشابه
Uncertainty relations in models of market microstructure
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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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2005
ISSN: 0378-4371
DOI: 10.1016/j.physa.2005.02.085