๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

The formation of a trader's reservation price

โœ Scribed by Richard P. Rozek


Book ID
112729744
Publisher
Springer US
Year
1978
Tongue
English
Weight
94 KB
Volume
6
Category
Article
ISSN
0197-4254

No coin nor oath required. For personal study only.


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We give a stochastic microscopic modelling of stock markets driven by continuous double auction. If we take into account the mimetic behavior of traders, when they place limit order, our virtual market shows the power-law tail of the distribution of returns with the exponent outside the Levy stable