Uncertainty relations in models of market microstructure

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 ph...

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Bibliographic Details
Published in:Physica A 2005-09, Vol.355 (1), p.209-216
Main Author: Theodosopoulos, Ted
Format: Article
Language:English
Subjects:
Financial market fluctuations
Spin models
Uncertainty relations
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Summary: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.
ISSN:0378-4371
1873-2119
DOI:10.1016/j.physa.2005.02.085