1 citations · 1 across the 1 of their papers we have counts for
2 papers
math.PR2006★ 1 cited
Imbalance attractors for a strategic model of market microstructure
Ted Theodosopoulos, Ming Yuen
In this paper we extend the series of our studies on the properties of an interacting particle model for market microstructure. In our earlier work we defined a Markov process on t…
math.PR2005
Properties of the wealth process in a market microstructure model
Ted Theodosopoulos, Ming Yuen
In this short paper we define the wealth process in a spin model for market microstructure, for individual agents and in aggregate. The agents in our model try to balance their des…