Understanding price discovery in interconnected markets: generalized Langevin process approach and simulation

DOI10.1016/J.PHYSA.2017.08.132MaRDI QIDQ2148671zbMATH OpenOpenAlexFDO

Authors Natalya A. Schenck, Philip A. Horvath, Amit K. Sinha

Publication date 24 June 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2017.08.132

zbMATH Keywords

market microstructureprice discoveryLangevin process

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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Cites work

• scientific article; zbMATH DE number 2061791 (Why is no real title available?)
• Algorithm AS 123: Mixtures of Beta Distributions
• Eigenvalues of the Fokker–Planck Operator and the Approach to Equilibrium for Diffusions in Potential Fields
• Finite mixture models
• Portfolio optimization when asset returns have the Gaussian mixture distribution
• TRANSIENT BROWNIAN MOTION IN RESPONSE TO A SUDDEN CHANGE OF TEMPERATURE
• The pricing of options and corporate liabilities
• Thermodynamic analogies in economics and finance: instability of markets
• Two Mixed Normal Densities from Cointegration Analysis

Cited in

(3)

• Directed acyclic graph based information shares for price discovery
• Understanding the Price Dynamics of a Real Market Using Simulations: The Dutch Auction of the Pescara Wholesale Fish Market
• The price leadership share: a new measure of price discovery in financial markets

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