Market Dynamics — Analytical Results

Vincent Darley and Alexander Outkin
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Vincent Darley: President & CEO of Eurobios, UK

Chapter 2 in A NASDAQ Market Simulation:Insights on a Major Market from the Science of Complex Adaptive Systems, 2007, pp 21-37 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:IntroductionSpreads in MarketsSummary of the Glosten-Milgrom ModelGM Model, Information, and Bayesian UpdatesConvergence TimesTick-Size EffectsExtension of the GM Model to Multinomial PricesThe Mathematical Formulas for the Multinomial CaseUpdating the Probability in the Recursive CaseSetting the Bid-Ask PricesThe Binomial CaseMultinomial AdditionsConvergence of BeliefsExtension of GM to Incorporate InventoryConvergence of BeliefsPrice Dynamics

Keywords: Financial Markets; Agent-Based Modeling; Complexity; Dynamics; Emergent Behaviors; Simulation; Phase Transitions; Strategy (search for similar items in EconPapers)
Date: 2007
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