Uncertainty relations in models of market microstructure

Ted Theodosopoulos

Papers from arXiv.org

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.

Date: 2004-09, Revised 2005-02
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:math/0409076

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