Stochastic Model of Thin Market with an Indivisible Commodity

Stochastický model nelikvidního trhu s nedělitelnou komoditou

Martin Šmíd

Acta Oeconomica Pragensia, 2005, vol. 2005, issue 1, 94-100

Abstract: In the paper, a thin market with an indivisible commodity, at which the market price is determined (by an organizer of the market) as the average price maximizing the traded volume, is modeled. Two models are presented - the first one with a finite, the second one with a possibly infinite number of participants. In both the cases, the joint distribution of the market price and the traded volume is derived.

Keywords: thin market; market price; traded volume; stochastic models (search for similar items in EconPapers)
JEL-codes: C65 (search for similar items in EconPapers)
Date: 2005
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DOI: 10.18267/j.aop.140

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