Stochastic Model of Thin Market of nondivisible commodity
AbstractWe assume a thin market with finite number of buyers and sellers, each agent having a single jump demand xor supply function (the jump is unit). Further, we assume that number of each agent's arrival is a Poisson distributed random variable. We describe the joint distribution of the market price and of the traded volume. Further, we examine a model with infinite number of agents (which may serve as an approximation of the model with the finite number of agents). Again, we describe the joint distribution of the price and the volume.
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Bibliographic InfoPaper provided by EconWPA in its series GE, Growth, Math methods with number 0406003.
Length: 21 pages
Date of creation: 30 Jun 2004
Date of revision: 28 Nov 2004
Note: Type of Document - pdf; pages: 21
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Thin market; market price; traded volume;
Find related papers by JEL classification:
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- D5 - Microeconomics - - General Equilibrium and Disequilibrium
- D9 - Microeconomics - - Intertemporal Choice
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-07-04 (All new papers)
- NEP-FIN-2004-07-04 (Finance)
- NEP-MIC-2004-07-04 (Microeconomics)
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