Uncertainty relations in models of market microstructure
classification
🧮 math.PR
q-fin.TR
keywords
marketmicrostructureanalysisasymptoticboundcontemporaneousexhibitsfinancial
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This paper presents a new interacting particle system and uses it as a spin model for financial market microstructure. The asymptotic analysis of this stochastic process exhibits a lower bound to the contemporaneous measurement of price and trading volume under the invariant measure in the `frozen' phase of the supercritical regime.
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