IDEAS home Printed from https://ideas.repec.org/a/spr/operea/v17y2017i1d10.1007_s12351-015-0224-7.html
   My bibliography  Save this article

Convergence of Markovian price processes in a financial market transaction model

Author

Listed:
  • Xiaojing Xu

    (Sichuan University)

  • Jinpeng Ma

    (Rutgers University)

  • Xiaoping Xie

    (Sichuan University)

Abstract

This paper studies a financial market transaction model and convergence of Markovian price processes generated by an $$\alpha$$ α -double auction in Xu et al. (Expert Syst Appl 41(16):7032–7045, 2014) and extends their results for a fixed $$\alpha$$ α in [0, 1] to the case where $$\alpha$$ α is governed by a time non-homogeneous Markov chain over a set of finite states defined by $$R\equiv \{\alpha _1, \alpha _2, \ldots , \alpha _r\}$$ R ≡ { α 1 , α 2 , … , α r } , $$0\le \alpha _1

Suggested Citation

  • Xiaojing Xu & Jinpeng Ma & Xiaoping Xie, 2017. "Convergence of Markovian price processes in a financial market transaction model," Operational Research, Springer, vol. 17(1), pages 239-273, April.
    • Handle: RePEc:spr:operea:v:17:y:2017:i:1:d:10.1007_s12351-015-0224-7
    DOI: 10.1007/s12351-015-0224-7
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/s12351-015-0224-7
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1007/s12351-015-0224-7?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Ellison, Glenn, 1993. "Learning, Local Interaction, and Coordination," Econometrica, Econometric Society, vol. 61(5), pages 1047-1071, September.
    2. Bikhchandani, Sushil & Mamer, John W., 1997. "Competitive Equilibrium in an Exchange Economy with Indivisibilities," Journal of Economic Theory, Elsevier, vol. 74(2), pages 385-413, June.
    3. Wilson, Robert B, 1985. "Incentive Efficiency of Double Auctions," Econometrica, Econometric Society, vol. 53(5), pages 1101-1115, September.
    4. LeRoy, Stephen F & Porter, Richard D, 1981. "The Present-Value Relation: Tests Based on Implied Variance Bounds," Econometrica, Econometric Society, vol. 49(3), pages 555-574, May.
    5. Myerson, Roger B. & Satterthwaite, Mark A., 1983. "Efficient mechanisms for bilateral trading," Journal of Economic Theory, Elsevier, vol. 29(2), pages 265-281, April.
    6. Ma, Jinpeng & Nie, Fusheng, 2003. "Walrasian equilibrium in an exchange economy with indivisibilities," Mathematical Social Sciences, Elsevier, vol. 46(2), pages 159-192, October.
    7. Shiller, Robert J, 1981. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," American Economic Review, American Economic Association, vol. 71(3), pages 421-436, June.
    8. Kelso, Alexander S, Jr & Crawford, Vincent P, 1982. "Job Matching, Coalition Formation, and Gross Substitutes," Econometrica, Econometric Society, vol. 50(6), pages 1483-1504, November.
    9. Kalyan Chatterjee & William Samuelson, 1983. "Bargaining under Incomplete Information," Operations Research, INFORMS, vol. 31(5), pages 835-851, October.
    10. Smith, Vernon L & Suchanek, Gerry L & Williams, Arlington W, 1988. "Bubbles, Crashes, and Endogenous Expectations in Experimental Spot Asset Markets," Econometrica, Econometric Society, vol. 56(5), pages 1119-1151, September.
    11. Fama, Eugene F, 1991. "Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Xiaojing Xu & Jinpeng Ma & Xiaoping Xie, 2019. "Price Convergence under a Probabilistic Double Auction," Computational Economics, Springer;Society for Computational Economics, vol. 54(3), pages 1113-1155, October.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Jinpeng Ma & Qiongling Li, 2016. "Convergence of price processes under two dynamic double auctions," The Journal of Mechanism and Institution Design, Society for the Promotion of Mechanism and Institution Design, University of York, vol. 1(1), pages 1-44, December.
    2. Xiaojing Xu & Jinpeng Ma & Xiaoping Xie, 2019. "Price Convergence under a Probabilistic Double Auction," Computational Economics, Springer;Society for Computational Economics, vol. 54(3), pages 1113-1155, October.
    3. Committee, Nobel Prize, 2013. "Understanding Asset Prices," Nobel Prize in Economics documents 2013-1, Nobel Prize Committee.
    4. Boswijk, H. Peter & Hommes, Cars H. & Manzan, Sebastiano, 2007. "Behavioral heterogeneity in stock prices," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1938-1970, June.
    5. Chakraborty, Archishman & Pagano, Michael S. & Schwartz, Robert A., 2012. "Order revelation at market openings," Journal of Financial Markets, Elsevier, vol. 15(2), pages 127-150.
    6. Hu Lu & Jacques Robert, 2000. "Optimal Trading Mechanisms with Ex Ante Unidentified Traders," Econometric Society World Congress 2000 Contributed Papers 1612, Econometric Society.
    7. Guglielmo Maria Caporale & Luis A. Gil‐Alana, 2004. "Fractional cointegration and tests of present value models," Review of Financial Economics, John Wiley & Sons, vol. 13(3), pages 245-258.
    8. Halim, Edward & Riyanto, Yohanes Eko & Roy, Nilanjan, 2016. "Price Dynamics and Consumption Smoothing in Experimental Asset Markets," MPRA Paper 71631, University Library of Munich, Germany.
    9. Alexander S. Sangare, 2005. "Efficience des marchés : un siècle après Bachelier," Revue d'Économie Financière, Programme National Persée, vol. 81(4), pages 107-132.
    10. Yoon, Kiho, 2001. "The Modified Vickrey Double Auction," Journal of Economic Theory, Elsevier, vol. 101(2), pages 572-584, December.
    11. Hirota, Shinichi & Huber, Juergen & Stöckl, Thomas & Sunder, Shyam, 2022. "Speculation, money supply and price indeterminacy in financial markets: An experimental study," Journal of Economic Behavior & Organization, Elsevier, vol. 200(C), pages 1275-1296.
    12. Delacrétaz, David & Loertscher, Simon & Mezzetti, Claudio, 2022. "When Walras meets Vickrey," Theoretical Economics, Econometric Society, vol. 17(4), November.
    13. David Dupuis & David Tessier, 2004. "The U.S. Stock Market and Fundamentals: A Historical Decomposition," Money Macro and Finance (MMF) Research Group Conference 2004 73, Money Macro and Finance Research Group.
    14. Zacharias, Eleftherios & Williams, Steven R., 2001. "Ex Post Efficiency in the Buyer's Bid Double Auction When Demand Can Be Arbitrarily Larger Than Supply," Journal of Economic Theory, Elsevier, vol. 97(1), pages 175-190, March.
    15. David Dupuis & David Tessier, 2003. "The U.S. Stock Market and Fundamentals: A Historical Decomposition," Staff Working Papers 03-20, Bank of Canada.
    16. Inoua, Sabiou M. & Smith, Vernon L., 2023. "A classical model of speculative asset price dynamics," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
    17. Hirota, Shinichi & Sunder, Shyam, 2007. "Price bubbles sans dividend anchors: Evidence from laboratory stock markets," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1875-1909, June.
    18. Hommes, Cars H., 2006. "Heterogeneous Agent Models in Economics and Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 23, pages 1109-1186, Elsevier.
    19. Majumder, Debasish, 2012. "When the market becomes inefficient: Comparing BRIC markets with markets in the USA," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 84-92.
    20. Lucy Ackert & William Hunter, 2001. "An Empirical Examination of the Price-Dividend Relation with Dividend Management," Journal of Financial Services Research, Springer;Western Finance Association, vol. 19(2), pages 115-129, April.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:operea:v:17:y:2017:i:1:d:10.1007_s12351-015-0224-7. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.