Partial information, market efficiency, and anomalous continuous phase transition

DOI10.1088/1742-5468/2014/04/P04017MaRDI QIDQ3301922zbMATHOpenAlexFDO

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

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3497315 (Why is no real title available?)
• A multi agent model for the limit order book dynamics
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• Power-law distributions in empirical data
• Statistical mechanics of asset markets with private information

Cited in

(1)

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

Describes a project that uses

Uses Software

• plfit

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