48 citations · 195 across the 26 of their papers we have counts for
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math.PR2007★ 2 cited
Queueing Theoretic Approaches to Financial Price Fluctuations
Erhan Bayraktar, Ulrich Horst, Ronnie Sircar
One approach to the analysis of stochastic fluctuations in market prices is to model characteristics of investor behaviour and the complex interactions between market participants,…
math.PR2007
A Limit Theorem for Financial Markets with Inert Investors
Erhan Bayraktar, Ulrich Horst, Ronnie Sircar
We study the effect of investor inertia on stock price fluctuations with a market microstructure model comprising many small investors who are inactive most of the time. It turns o…