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 phase of the supercritical regime.

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Year of publication:	2005
Authors:	Theodosopoulos, Ted
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 355.2005, 1, p. 209-216
Publisher:	Elsevier
Subject:	Spin models \| Financial market fluctuations \| Uncertainty relations

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010588636