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Uncertainty relations in models of market microstructure

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  • Ted Theodosopoulos

Abstract

This paper presents a new interacting particle system and uses it as a spin model for financial market microstructure. The asymptotic analysis of this stochastic process exhibits a lower bound to the contemporaneous measurement of price and trading volume under the invariant measure in the `frozen' phase of the supercritical regime.

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  • Ted Theodosopoulos, 2004. "Uncertainty relations in models of market microstructure," Papers math/0409076, arXiv.org, revised Feb 2005.
    • Handle: RePEc:arx:papers:math/0409076
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    6. Jean-Philippe Bouchaud & Yuval Gefen & Marc Potters & Matthieu Wyart, 2003. "Fluctuations and response in financial markets: the subtle nature of `random' price changes," Papers cond-mat/0307332, arXiv.org, revised Aug 2003.
    7. Jean-Philippe Bouchaud & Marc Mezard & Marc Potters, 2002. "Statistical properties of stock order books: empirical results and models," Science & Finance (CFM) working paper archive 0203511, Science & Finance, Capital Fund Management.
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    Cited by:

    1. Theodosopoulos, Ted & Boyer, Robert, 2007. "Periodic attractors of random truncator maps," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 302-310.

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