Stochastic Model of Thin Market with Divisible Commodity
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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
We suggest a model of (a thin) market at which the number of participants is random with Poisson distribution. We provide a formula for joint distribution of the market price and the traded volume. We derive an asymptotic distribution of the quantities. We find that, according to our model, with increasing intensity of the participants' number, the fluctuations of the market price vanish while the variance of the traded volume increases.
Keywords: thin market; market price; traded volume; asymptotic distribution (search for similar items in EconPapers)
JEL-codes: C6 D5 D9 (search for similar items in EconPapers)
Note: Type of Document - pdf; pages: 10
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpge:0409006
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