A queueing theory description of fat-tailed price returns in imperfect financial markets

European Physical Journal B

Volumn 77, Issue 2, 2010, Pages 297-304

  Lamba, H ^a  

^a GEORGE MASON UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

AGENT BEHAVIOR; ASSET PRICES; BUSY PERIOD; FINANCIAL INSTITUTION; FINANCIAL MARKET; INVESTMENT HORIZON; NONEXPONENTIAL DECAYS; PRICE CHANGES; PRICE RETURNS; SINGLE SERVER QUEUE; STYLIZED FACTS; THRESHOLD MODEL; TIME-SCALES;

COMMERCE; COSTS; MATHEMATICAL MODELS; OPERATIONS RESEARCH;

QUEUEING THEORY;

EID: 78149280173     PISSN: 14346028     EISSN: 14346036     Source Type: Journal    
DOI: 10.1140/epjb/e2010-00248-5     Document Type: Article

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