Partial information, market efficiency, and anomalous continuous phase transition

DOI10.1088/1742-5468/2014/04/P04017zbMATH Open1456.91038OpenAlexW1976780619MaRDI QIDQ3301922FDOQ3301922

Authors: Guang Yang, Wenzhi Zheng, Jiping Huang 

Publication date: 11 August 2020

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

Full work available at URL: https://doi.org/10.1088/1742-5468/2014/04/p04017

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Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of game theory (91A80) Economics of information (91B44)

Cites Work

• Power-law distributions in empirical data
• Title not available (Why is that?)
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• Statistical mechanics of asset markets with private information
• A multi agent model for the limit order book dynamics

Cited In (1)

• Information thermodynamics of financial markets: the Glosten–Milgrom model

Uses Software

• plfit

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