Demand Storage, Market Liquidity, and Price Volatility
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References listed on IDEAS
- J. Doyne Farmer, 2002. "Market force, ecology and evolution," Industrial and Corporate Change, Oxford University Press, vol. 11(5), pages 895-953, November.
- Challet, Damien & Stinchcombe, Robin, 2001. "Analyzing and modeling 1+1d markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 300(1), pages 285-299.
- Gode, Dhananjay K & Sunder, Shyam, 1993. "Allocative Efficiency of Markets with Zero-Intelligence Traders: Market as a Partial Substitute for Individual Rationality," Journal of Political Economy, University of Chicago Press, vol. 101(1), pages 119-137, February.
More about this item
KeywordsFinancial markets; price formation; volatility; liquidity; master equation; random process; limit orders; dimensional analysis;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2002-03-14 (All new papers)
- NEP-FMK-2002-03-14 (Financial Markets)
- NEP-MIC-2002-03-14 (Microeconomics)
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