Uncertainty relations in models of market microstructure

Ted Theodosopoulos

Physica A: Statistical Mechanics and its Applications, 2005, vol. 355, issue 1, 209-216

Abstract: 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.

Keywords: Spin models; Financial market fluctuations; Uncertainty relations (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:355:y:2005:i:1:p:209-216

DOI: 10.1016/j.physa.2005.02.085

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