A limit theorem for financial markets with inert investors

Mathematics of Operations Research

Volumn 31, Issue 4, 2006, Pages 789-810

  Bayraktar, Erhan ^a   Horst, Ulrich ^b   Sircar, Ronnie ^c  

^a UNIVERSITY OF MICHIGAN   (United States)

^b UNIVERSITY OF BRITISH COLUMBIA   (Canada)

^c Princeton University   (United States)

Author keywords

Fractional Brownian motion; Functional central limit theorem; Investor inertia; Market microstructure; Semi Markov processes

Indexed keywords

FRACTIONAL BROWNIAN MOTION; INERT INVESTORS; INVESTOR INERTIA; MARKET MICROSTRUCTURES; SEMI-MARKOV PROCESSES; STOCHASTIC INTEGRALS;

APPROXIMATION THEORY; COST ACCOUNTING; MARKOV PROCESSES; MATHEMATICAL MODELS; STOCHASTIC PROGRAMMING;

THEOREM PROVING;

EID: 33847187368     PISSN: 0364765X     EISSN: 15265471     Source Type: Journal    
DOI: 10.1287/moor.1060.0202     Document Type: Article

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