Journal article

A quantitative model of trading and price formation in financial markets

Abstract:: We use standard physics techniques to model trading and price formation in a market under the assumption that order arrival and cancellations are Poisson random processes. This model makes testable predictions for the most basic properties of a market, such as the diffusion rate of prices, which is the standard measure of financial risk, and the spread and price impact functions, which are the main determinants of transaction cost. Guided by dimensional analysis, simulation, and mean field th...
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APA Style

Daniels, M. G., Farmer, J., Gillemot, L., Iori, G., & Smith, E. (2001). A quantitative model of trading and price formation in financial markets. Physical Review Letters, 90(10).

MLA Style

Daniels, M. G., et al. “A Quantitative Model of Trading and Price Formation in Financial Markets.” Physical Review Letters, vol. 90, no. 10, 2001.

Chicago Style

Daniels, MG, J Farmer, L Gillemot, G Iori, and E Smith. 2001. “A Quantitative Model of Trading and Price Formation in Financial Markets.” Physical Review Letters 90 (10).
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Publisher copy:: 10.1103/PhysRevLett.90.108102

Authors

+ Daniels, MG More by this author

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+ Farmer, J More by this author

Institution:

University of Oxford

Division:

MPLS

Department:

Mathematical Institute

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Author

+ Gillemot, L More by this author

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+ Iori, G More by this author

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Author

+ Smith, E More by this author

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Author

Bibliographic Details

Journal:: Physical Review Letters More from this journal
Volume:: 90
Issue:: 10
Publication date:: 2001-12-23
DOI:: 10.1103/PhysRevLett.90.108102
EISSN:: 1079-7114
ISSN:: 0031-9007

Item Description

Keywords:: q-fin.TR

cond-mat.stat-mech
Pubs id:: pubs:387687
UUID:: uuid:bc33d7c3-5dc0-4ebf-b20e-c9cdf208dea3
Local pid:: pubs:387687
Source identifiers:: 387687
Deposit date:: 2013-11-16

Terms of use

Copyright date:: 2001
Notes:: 5 pages, 4 figures

Licence:: Terms and Conditions of Use for Oxford University Research Archive

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