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Response of double-auction markets to instantaneous Selling–Buying signals with stochastic Bid–Ask spread

  • Takero Ibuki

    ()

  • Jun-ichi Inoue

    ()

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    No abstract is available for this item.

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    File URL: http://hdl.handle.net/10.1007/s11403-011-0078-x
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    Article provided by Springer in its journal Journal of Economic Interaction and Coordination.

    Volume (Year): 6 (2011)
    Issue (Month): 2 (November)
    Pages: 93-120

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    Handle: RePEc:spr:jeicoo:v:6:y:2011:i:2:p:93-120
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    1. Ananth Madhavan & Matthew Richardson & Mark Roomans, 1996. "Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-34, New York University, Leonard N. Stern School of Business-.
    2. Matthieu Wyart & Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters & Michele Vettorazzo, 2008. "Relation between bid-ask spread, impact and volatility in order-driven markets," Quantitative Finance, Taylor & Francis Journals, vol. 8(1), pages 41-57.
    3. Sazuka, Naoya, 2007. "On the gap between an empirical distribution and an exponential distribution of waiting times for price changes in a financial market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 376(C), pages 500-506.
    4. Enrico Scalas & Rudolf Gorenflo & Hugh Luckock & Francesco Mainardi & Maurizio Mantelli & Marco Raberto, 2005. "Anomalous waiting times in high-frequency financial data," Papers physics/0505210, arXiv.org.
    5. Sazuka, Naoya & Inoue, Jun-ichi & Scalas, Enrico, 2009. "The distribution of first-passage times and durations in FOREX and future markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(14), pages 2839-2853.
    6. S. V. Vikram & Sitabhra Sinha, 2010. "Emergence of universal scaling in financial markets from mean-field dynamics," Papers 1006.0628, arXiv.org.
    7. Challet, D. & Zhang, Y.-C., 1997. "Emergence of cooperation and organization in an evolutionary game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 246(3), pages 407-418.
    8. Damien Challet, 2005. "Inter-pattern speculation: beyond minority, majority and $-games," Finance 0503006, EconWPA.
    9. Jun-ichi Inoue & Naoya Sazuka & Enrico Scalas, 2010. "On-line trading as a renewal process: Waiting time and inspection paradox," Papers 1007.3347, arXiv.org.
    10. Enrico Scalas, 2006. "Mixtures of compound Poisson processes as models of tick-by-tick financial data," Papers physics/0608217, arXiv.org.
    11. Miquel Montero & Jaume Masoliver, 2006. "Mean Exit Time and Survival Probability within the CTRW Formalism," Papers physics/0607268, arXiv.org, revised Oct 2006.
    12. Jun-Ichi Inoue & Naoya Sazuka, 2010. "Queueing theoretical analysis of foreign currency exchange rates," Quantitative Finance, Taylor & Francis Journals, vol. 10(2), pages 121-130.
    13. Matthieu Wyart & Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters & Michele Vettorazzo, 2006. "Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets," Papers physics/0603084, arXiv.org, revised Mar 2007.
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