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Inner Market as a "Black Box"

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  • Ari Belenkiy
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    Abstract

    Each market has its singular characteristic. Its inner structure is directly responsible for the observed distributions of returns though this fact is widely overlooked. Big orders lead to doubling the tails. The behavior of a market maker with many or few ``friends'' who can reliably loan money or stock to him is quite different from the one without. After representing the inner market ``case'' we suggest how to analyze its structure.

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    File URL: http://arxiv.org/pdf/cond-mat/0106401
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    Paper provided by arXiv.org in its series Papers with number cond-mat/0106401.

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    Date of creation: Jun 2001
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    Handle: RePEc:arx:papers:cond-mat/0106401

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    Web page: http://arxiv.org/

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    1. Yi-Cheng Zhang, 2001. "Why Financial Markets Will Remain Marginally Inefficient?," Papers cond-mat/0105373, arXiv.org.
    2. Solomon, Sorin & Richmond, Peter, 2001. "Power laws of wealth, market order volumes and market returns," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 299(1), pages 188-197.
    3. Levy, Moshe & Solomon, Sorin, 1997. "New evidence for the power-law distribution of wealth," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 242(1), pages 90-94.
    4. Sorin Solomon & Peter Richmond, 2001. "Power Laws of Wealth, Market Order Volumes and Market Returns," Papers cond-mat/0102423, arXiv.org, revised Apr 2001.
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