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Stochastic Model of Thin Market of nondivisible commodity

Martin Smid
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Martin Smid: Institute of Information Theory & Automation of the Academy of Sciences of the Czech Republic

GE, Growth, Math methods from EconWPA

Abstract: We assume a thin market with finite number of buyers and sellers, each agent having a single jump demand xor supply function (the jump is unit). Further, we assume that number of each agent's arrival is a Poisson distributed random variable. We describe the joint distribution of the market price and of the traded volume. Further, we examine a model with infinite number of agents (which may serve as an approximation of the model with the finite number of agents). Again, we describe the joint distribution of the price and the volume.

Keywords: Thin market; market price; traded volume (search for similar items in EconPapers)
JEL-codes: C6 D5 D9 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin and nep-mic
Date: 2004-06-30, Revised 2004-11-28
Note: Type of Document - pdf; pages: 21
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