paper
Uncertainty relations in models of market microstructure
Ted Theodosopoulos
Uncertainty relations in models of market microstructure
Ted Theodosopoulos
paper2004-09-06English
math.PRq-fin.TR
Description
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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