A quantitative model of trading and price formation in financial markets
We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties of a market, such as the diffusion rate of prices, which is...
| Main Authors: | , , , , |
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| Format: | Journal article |
| Published: |
2001
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