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Uncertainty relations in models of market microstructure

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  • Theodosopoulos, Ted

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.

Suggested Citation

  • Theodosopoulos, Ted, 2005. "Uncertainty relations in models of market microstructure," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(1), pages 209-216.
    • Handle: RePEc:eee:phsmap:v:355:y:2005:i:1:p:209-216
    DOI: 10.1016/j.physa.2005.02.085
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    References listed on IDEAS

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    1. Majka, Arkadiusz & Wiślicki, Wojciech, 2004. "Statistical thermodynamics for choice models on graphs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 337(3), pages 645-663.
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    4. Jean-Philippe Bouchaud & Marc Mezard & Marc Potters, 2002. "Statistical properties of stock order books: empirical results and models," Quantitative Finance, Taylor & Francis Journals, vol. 2(4), pages 251-256.
    5. Kaizoji, Taisei & Bornholdt, Stefan & Fujiwara, Yoshi, 2002. "Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 316(1), pages 441-452.
    6. Burgos, E. & Ceva, Horacio & Perazzo, R.P.J., 2004. "The evolutionary minority game with local coordination," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 337(3), pages 635-644.
    7. Challet, Damien & Marsili, Matteo & De Martino, Andrea, 2004. "Stylized facts in minority games with memory: a new challenge," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 338(1), pages 143-150.
    8. 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.
    9. Johnson, Neil F. & Jefferies, Paul & Hui, Pak Ming, 2003. "Financial Market Complexity," OUP Catalogue, Oxford University Press, number 9780198526650.
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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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