4 citations · 9 across the 8 of their papers we have counts for
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math.PR2004
Uncertainty relations in models of market microstructure
Ted Theodosopoulos
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…
math.PR2004
Short-term equity dynamics and endogenous market fluctuations
Ted Theodosopoulos, Muffasir Badshah
We present a model that investigates the spontaneous emergence of randomness in equity market microstructure. The phase space analysis of our model exposes an endogenous source of…