Uncertainty relations in models of market microstructure
arXiv:math/0409076 · doi:10.1016/j.physa.2005.02.085
Abstract
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.
7 pages, 3 figures, presented at the 1st Bonzenfreies Colloquium on Market Dynamics and Quantitative Economics