Information thermodynamics of financial markets: the Glosten–Milgrom model

DOI10.1088/1742-5468/abe59bzbMath1504.62161arXiv2010.01905OpenAlexW3091086994MaRDI QIDQ4992311

Don Zagier, Léo Touzo, Matteo Marsili

Publication date: 8 June 2021

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2010.01905

zbMATH Keywords

market microstructuremarket impactstochastic thermodynamicsmodels of financial markets

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Statistical aspects of information-theoretic topics (62B10) Financial markets (91G15)

Cites Work

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• Jarzynski-type equalities in gambling: role of information in capital growth
• The Szilard engine revisited: Entropy, macroscopic randomness, and symmetry breaking phase transitions
• Thermodynamics of Information Processing in Small Systems*)
• Analogy between gambling and measurement-based work extraction
• Irreversibility and Heat Generation in the Computing Process
• Continuous Auctions and Insider Trading
• Statistical mechanics of asset markets with private information
• Integral fluctuation relations for entropy production at stopping times

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