Short-term equity dynamics and endogenous market fluctuations

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dc.creatorTheodosopoulos, Ted
dc.creatorBadshah, Muffasir
dc.date2004-06-03
dc.date2004-09-18
dc.date.accessioned2026-07-07T12:07:14Z
dc.date.available2026-07-07T12:07:14Z
dc.descriptionWe 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 fluctuation in price and volume. We formulate a control problem for maximizing price regularity and stability while minimizing entanglement with the market, representing the NYSE specialists' affirmative obligation to maintain `fair and orderly markets'.
dc.description6 pages, 9 figures, to be presented at the Special Session on Models for Financial Market Microstructure at the 2nd IASTED International Conference on Financial Engineering and Applications
dc.identifierhttps://arxiv.org/abs/math/0406067
dc.identifierhttp://arxiv.org/abs/math/0406067
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208900
dc.subjectProbability
dc.subjectDynamical Systems
dc.subjectOptimization and Control
dc.subjectStatistical Finance
dc.subject37N40; 60H10; 91B26
dc.titleShort-term equity dynamics and endogenous market fluctuations
dc.typetext

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