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Stochastic Model of Thin Market of nondivisible commodity

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  • Martin Smid

    (Institute of Information Theory & Automation of the Academy of Sciences of the Czech Republic)

Abstract

We 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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File URL: http://128.118.178.162/eps/ge/papers/0406/0406003.pdf
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Bibliographic Info

Paper provided by EconWPA in its series GE, Growth, Math methods with number 0406003.

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Length: 21 pages
Date of creation: 30 Jun 2004
Date of revision: 28 Nov 2004
Handle: RePEc:wpa:wuwpge:0406003

Note: Type of Document - pdf; pages: 21
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Web page: http://128.118.178.162

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Keywords: Thin market; market price; traded volume;

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