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Stochastic Model of Thin Market with an Indivisible Commodity
[Stochastický model nelikvidního trhu s nedělitelnou komoditou]

Author

Listed:
  • Martin Šmíd

Abstract

In the paper, a thin market with an indivisible commodity, at which the market price is determined (by an organizer of the market) as the average price maximizing the traded volume, is modeled. Two models are presented - the first one with a finite, the second one with a possibly infinite number of participants. In both the cases, the joint distribution of the market price and the traded volume is derived.

Suggested Citation

  • Martin Šmíd, 2005. "Stochastic Model of Thin Market with an Indivisible Commodity [Stochastický model nelikvidního trhu s nedělitelnou komoditou]," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2005(1), pages 94-100.
    • Handle: RePEc:prg:jnlaop:v:2005:y:2005:i:1:id:140:p:94-100
    DOI: 10.18267/j.aop.140
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    References listed on IDEAS

    as
    1. Lo, Andrew W. & Craig MacKinlay, A., 1990. "An econometric analysis of nonsynchronous trading," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 181-211.
    2. Roth, Alvin E & Xing, Xiaolin, 1994. "Jumping the Gun: Imperfections and Institutions Related to the Timing of Market Transactions," American Economic Review, American Economic Association, vol. 84(4), pages 992-1044, September.
    3. Coles, Melvyn G & Smith, Eric, 1998. "Marketplaces and Matching," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(1), pages 239-254, February.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    thin market; market price; traded volume; stochastic models;
    All these keywords.

    JEL classification:

    • C65 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Miscellaneous Mathematical Tools

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