Stochastic Model of Thin Market with Divisible Commodity
AbstractWe suggest a model of (a thin) market at which the number of participants is random with Poisson distribution. We provide a formula for joint distribution of the market price and the traded volume. We derive an asymptotic distribution of the quantities. We find that, according to our model, with increasing intensity of the participants' number, the fluctuations of the market price vanish while the variance of the traded volume increases.
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Bibliographic InfoPaper provided by EconWPA in its series GE, Growth, Math methods with number 0409006.
Length: 10 pages
Date of creation: 27 Sep 2004
Date of revision:
Note: Type of Document - pdf; pages: 10
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thin market; market price; traded volume; asymptotic distribution;
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-2004-10-18 (All new papers)
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