2 papers
q-fin.TR2020
Transmission of market orders through communication line with relativistic delay
Peter B. Lerner
The notion of "relativistic finance" became ingrained in public imagination and has been asserted in many mass-media reports. Yet, despite an observed drive of the most reputable W…
q-fin.TR2020
Dual State-Space Model of Market Liquidity: The Chinese Experience 2009-2010
P. B. Lerner
This paper proposes and motivates a dynamical model of the Chinese stock market based on a linear regression in a dual state space connected to the original state space of correlat…