From Walras’ auctioneer to continuous time double auctions: a general dynamic theory of supply and demand
From MaRDI portal
Publication:3302506
DOI10.1088/1742-5468/aa4e8ezbMath1456.91053arXiv1506.03758OpenAlexW3124484033MaRDI QIDQ3302506
J. Donier, Jean-Philippe Bouchaud
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://arxiv.org/abs/1506.03758
Related Items
The inelastic market hypothesis: a microstructural interpretation ⋮ Order book model with herd behavior exhibiting long-range memory
Cites Work
- The Pricing of Options and Corporate Liabilities
- Stochastic methods. A handbook for the natural and social sciences
- Mean field games
- Price formation in double auction markets
- Price formation in double auctions
- Tipping points in macroeconomic agent-based models
- Continuous Auctions and Insider Trading
- Strategic Trading and Welfare in a Dynamic Market
- Langevin equation for the density of a system of interacting Langevin processes
- Statistical properties of stock order books: empirical results and models
- A fully consistent, minimal model for non-linear market impact
- A Wiener-Hopf integral equation arising in some inference and queueing problems
