Properties of the wealth process in a market microstructure model
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"Fluctuations and response in financial markets: the subtle nature of `random' price changes,"
Papers
cond-mat/0307332, arXiv.org, revised Aug 2003.
- Jean-Philippe Bouchaud & Yuval Gefen & Marc Potters & Matthieu Wyart, 2003. "Fluctuations and response in financial markets: the subtle nature of `random' price changes," Science & Finance (CFM) working paper archive 0307332, Science & Finance, Capital Fund Management.
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Cited by:
- Ted Theodosopoulos & Ming Yuen, 2006. "Imbalance attractors for a strategic model of market microstructure," Papers math/0605421, arXiv.org.
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