Market Behavior in a Clearing House

DOI10.2307/1913393MaRDI QIDQ3968714zbMATH OpenOpenAlexFDO

Authors Haim Mendelson

Publication date 1982

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/1913393

zbMATH Keywords

clearing housemarket mechanismsrenewal theory

Mathematics Subject Classification ID

Trade models (91B60)

Cited in

(16)

• Random competitive exchange: Price distributions and gains from trade
• Auctions as algorithms. Computerized trade execution and price discovery
• Limiting distribution for a simple model of order book dynamics
• THE OPINION GAME: STOCK PRICE EVOLUTION FROM MICROSCOPIC MARKET MODELING
• QUEUING, SOCIAL INTERACTIONS, AND THE MICROSTRUCTURE OF FINANCIAL MARKETS
• Non-constant rates and over-diffusive prices in a simple model of limit order markets
• A steady-state model of the continuous double auction
• Fundamentalists clashing over the book: a study of order-driven stock markets
• Statistical theory of the continuous double auction
• Limit order books, diffusion approximations and reflected SPDEs: from microscopic to macroscopic models
• Clearing price distributions in call auctions
• A semi-Markovian modeling of limit order markets
• Limits of Limit-Order Books
• Vertical syndication-proof competitive prices in multilateral assignment markets
• Equity auction dynamics: latent liquidity models with activity acceleration
• Distribution of price and volume in a call auction

This page was built for publication: Market Behavior in a Clearing House

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3968714)