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Inner Market as a "Black Box"

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  • Ari Belenkiy

Abstract

Each market has its singular characteristic. Its inner structure is directly responsible for the observed distributions of returns though this fact is widely overlooked. Big orders lead to doubling the tails. The behavior of a market maker with many or few ``friends'' who can reliably loan money or stock to him is quite different from the one without. After representing the inner market ``case'' we suggest how to analyze its structure.

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  • Ari Belenkiy, 2001. "Inner Market as a "Black Box"," Papers cond-mat/0106401, arXiv.org.
    • Handle: RePEc:arx:papers:cond-mat/0106401
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    1. Yi-Cheng Zhang, 2001. "Why Financial Markets Will Remain Marginally Inefficient?," Papers cond-mat/0105373, arXiv.org.
    2. Levy, Moshe & Solomon, Sorin, 1997. "New evidence for the power-law distribution of wealth," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 242(1), pages 90-94.
    3. Solomon, Sorin & Richmond, Peter, 2001. "Power laws of wealth, market order volumes and market returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 188-197.
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