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Inner Market As A 'Black Box' Of Parameters For The Entire Market

Author

Listed:
  • ARI BELENKIY

    (Physics Department, Bar-Ilan University, 52900 Ramat Gan, Israel)

Abstract

Each market has its singular characteristics. Its inner structure is directly responsible for the observed distributions of returns though this fact is widely overlooked. Presence of aspecialistleads to doubling the tails. Price dynamics of a market where market-makers have mutual obligations (orfriendship) is different from one without them.After representing the inner market case we suggest how to analyze its structure. We show that its framework may provide explanation for various problems arising in some popular market models. Severalinverseproblems are formulated.

Suggested Citation

  • Ari Belenkiy, 2002. "Inner Market As A 'Black Box' Of Parameters For The Entire Market," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 5(05), pages 531-540.
    • Handle: RePEc:wsi:ijtafx:v:05:y:2002:i:05:n:s0219024902001614
    DOI: 10.1142/S0219024902001614
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