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Stochastic Model of Thin Market of nondivisible commodity


  • Martin Smid

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


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.

Suggested Citation

  • Martin Smid, 2004. "Stochastic Model of Thin Market of nondivisible commodity," GE, Growth, Math methods 0406003, University Library of Munich, Germany, revised 28 Nov 2004.
  • Handle: RePEc:wpa:wuwpge:0406003
    Note: Type of Document - pdf; pages: 21

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    Thin market; market price; traded volume;

    JEL classification:

    • C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
    • D5 - Microeconomics - - General Equilibrium and Disequilibrium
    • D9 - Microeconomics - - Micro-Based Behavioral Economics

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