Uncertainty relations in models of market microstructure

DOI10.1016/J.PHYSA.2005.02.085MaRDI QIDQ6474434zbMATH OpenFDO

Authors Ted Theodosopoulos

Publication date 5 September 2004

Full work available at URL https://doi.org/10.1016/J.PHYSA.2005.02.085

Mathematics Subject Classification ID

Interacting random processes; statistical mechanics type models; percolation theory (60K35) Auctions, bargaining, bidding and selling, and other market models (91B26)

Abstract: This paper presents a new interacting particle system and uses it as a spin model for financial market microstructure. The asymptotic analysis of this stochastic process exhibits a lower bound to the contemporaneous measurement of price and trading volume under the invariant measure in the `frozen' phase of the supercritical regime.

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