Quantitative model of price diffusion and market friction based on trading as a mechanistic random process

Physical Review Letters

Volumn 90, Issue 10, 2003, Pages

  Daniels, Marcus G ^a   Farmer, J Doyne ^a   Gillemot, László ^a   Iori, Giulia ^b   Smith, Eric ^a  

^a SANTA FE INSTITUTE   (United States)

^b KING'S COLLEGE LONDON   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

ALGORITHMS; APPROXIMATION THEORY; BOUNDARY CONDITIONS; COMPUTER SIMULATION; COSTS; ECONOMICS; PROBABILITY;

CONTINUUM APPROXIMATION; DIMENSIONAL ANALYSIS; MARKET FRICTION; MEAN FIELD THEORY; POISSON RANDOM PROCESSES; PRICE DIFFUSION; TRADING;

RANDOM PROCESSES;

EID: 0038303122     PISSN: 00319007     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

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