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

DOI10.1016/J.PHYSA.2017.08.132OpenAlexW2761097172MaRDI QIDQ2148671FDOQ2148671

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)

Cites Work

• Title not available (Why is that?)
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• TRANSIENT BROWNIAN MOTION IN RESPONSE TO A SUDDEN CHANGE OF TEMPERATURE

Cited In (1)

• Understanding the Price Dynamics of a Real Market Using Simulations: The Dutch Auction of the Pescara Wholesale Fish Market

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