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Response of double-auction markets to instantaneous Selling–Buying signals with stochastic Bid–Ask spread

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  • Takero Ibuki

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  • Jun-ichi Inoue

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s11403-011-0078-x
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    Bibliographic Info

    Article provided by Springer in its journal Journal of Economic Interaction and Coordination.

    Volume (Year): 6 (2011)
    Issue (Month): 2 (November)
    Pages: 93-120

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    Handle: RePEc:spr:jeicoo:v:6:y:2011:i:2:p:93-120

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    Web page: http://www.springer.com/economics/economic+theory/journal/11403

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    Related research

    Keywords: Double-auction; Bid–Ask spread; Response function; Minority game; Stochastic process; Non-equilibrium phenomena; Agent-based simulations; Econophysics;

    References

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    1. Ananth Madhavan & Matthew Richardson & Mark Roomans, 1996. "Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-34, New York University, Leonard N. Stern School of Business-.
    2. Matthieu Wyart & Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters & Michele Vettorazzo, 2008. "Relation between bid-ask spread, impact and volatility in order-driven markets," Quantitative Finance, Taylor & Francis Journals, vol. 8(1), pages 41-57.
    3. Enrico Scalas & Rudolf Gorenflo & Hugh Luckock & Francesco Mainardi & Maurizio Mantelli & Marco Raberto, 2004. "Anomalous waiting times in high-frequency financial data," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 695-702.
    4. Challet, D. & Zhang, Y.-C., 1997. "Emergence of cooperation and organization in an evolutionary game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 246(3), pages 407-418.
    5. Jun-Ichi Inoue & Naoya Sazuka, 2010. "Queueing theoretical analysis of foreign currency exchange rates," Quantitative Finance, Taylor & Francis Journals, vol. 10(2), pages 121-130.
    6. Matthieu Wyart & Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters & Michele Vettorazzo, 2006. "Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets," Science & Finance (CFM) working paper archive 500067, Science & Finance, Capital Fund Management.
    7. Naoya Sazuka & Jun-ichi Inoue & Enrico Scalas, 2008. "The distribution of first-passage times and durations in FOREX and future markets," Papers 0808.0372, arXiv.org.
    8. M. Montero & J. Masoliver, 2007. "Mean exit time and survival probability within the CTRW formalism," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 57(2), pages 181-185, 05.
    9. Challet, Damien, 2008. "Inter-pattern speculation: Beyond minority, majority and $-games," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 85-100, January.
    10. Jun-ichi Inoue & Naoya Sazuka & Enrico Scalas, 2010. "On-line trading as a renewal process: Waiting time and inspection paradox," Papers 1007.3347, arXiv.org.
    11. Enrico Scalas, 2006. "Mixtures of compound Poisson processes as models of tick-by-tick financial data," Papers physics/0608217, arXiv.org.
    12. S. V. Vikram & Sitabhra Sinha, 2010. "Emergence of universal scaling in financial markets from mean-field dynamics," Papers 1006.0628, arXiv.org.
    13. Sazuka, Naoya, 2007. "On the gap between an empirical distribution and an exponential distribution of waiting times for price changes in a financial market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 500-506.
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