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Market Dynamics — Analytical Results

In: A Nasdaq Market Simulation Insights on a Major Market from the Science of Complex Adaptive Systems

Author

Listed:
  • VINCENT DARLEY

    (President & CEO of Eurobios, UK)

  • ALEXANDER V OUTKIN

    (Los Alamos National Laboratory, USA)

Abstract

The following sections are included:IntroductionSpreads in MarketsSummary of the Glosten-Milgrom ModelGM Model, Information, and Bayesian UpdatesConvergence TimesTick-Size EffectsExtension of the GM Model to Multinomial PricesThe Mathematical Formulas for the Multinomial CaseUpdating the Probability in the Recursive CaseSetting the Bid-Ask PricesThe Binomial CaseMultinomial AdditionsConvergence of BeliefsExtension of GM to Incorporate InventoryConvergence of BeliefsPrice Dynamics

Suggested Citation

  • Vincent Darley & Alexander V Outkin, 2007. "Market Dynamics — Analytical Results," World Scientific Book Chapters, in: A Nasdaq Market Simulation Insights on a Major Market from the Science of Complex Adaptive Systems, chapter 2, pages 21-37, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812708359_0002
    as

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