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&#...

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Bibliographic Details
Published in:arXiv.org 2005-02
Main Author: Theodosopoulos, Ted
Format: Article
Language:English
Subjects:
Lower bounds
Markets
Microstructure
Stochastic processes
Online Access:Get full text
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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:2331-8422
DOI:10.48550/arxiv.0409076