Newtonian Asset Pricing

D. Sasaki

No 711, Department of Economics - Working Papers Series from The University of Melbourne

Abstract: This paper explores a pricing algorithm which behaves as a Walrasian auctioneer under the following constraints: [i] traders arrive randomly and each sales/purchase order should be carried out at the currently posted price (sequential service), [ii] the auctioneer need not know the exact fundamental value of the traded asset (s), and [iii] price movements depend only upon trade orders, not upon which traders submit these orders (anonymous traders). The suggested auctioneering algorithm is such that the arrivals of sales and purchase orders affect the second-order increment (acceleration), not directly the first-order increment (velocity), of the price.

Keywords: FINANCIAL MARKET; INFORMATION; PRICES (search for similar items in EconPapers)
JEL-codes: C61 D82 G12 (search for similar items in EconPapers)
Pages: 23 pages
Date: 1999
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:mlb:wpaper:711

Access Statistics for this paper

More papers in Department of Economics - Working Papers Series from The University of Melbourne Department of Economics, The University of Melbourne, 4th Floor, FBE Building, Level 4, 111 Barry Street. Victoria, 3010, Australia. Contact information at EDIRC.
Bibliographic data for series maintained by Dandapani Lokanathan ().