| dc.date.accessioned | 2013-03-12T08:19:03Z | |
| dc.date.available | 2013-03-12T08:19:03Z | |
| dc.date.issued | 2005 | en_US |
| dc.date.submitted | 2009-11-25 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10852/10586 | |
| dc.description.abstract | The design of this study is to investigate the evolution of a stochastic price process consequent to discrete processes of bids and offers in a market microstructure setting. Under a set of flexible assumptions about agent preferences, we generate a price process to compare with observation. Specifically, we allow for both rational and irrational economic behavior, abstracting the inquiry from classical studies relying on utility theory. The goal is to provide a set of economic primitives which point inexorably to the price processes we see, rather than to assume such process from the start. | eng |
| dc.language.iso | eng | en_US |
| dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
| dc.relation.ispartof | Preprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | en_US |
| dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
| dc.rights | © The Author(s) (2005). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
| dc.title | MARKET MICROSTRUCTURE AND PRICE DISCOVERY | en_US |
| dc.type | Research report | en_US |
| dc.date.updated | 2009-11-25 | en_US |
| dc.rights.holder | Copyright 2005 The Author(s) | |
| dc.creator.author | Kettler, Paul C. | en_US |
| dc.creator.author | Proske, Frank | en_US |
| dc.creator.author | Yablonski, Aleh | en_US |
| dc.subject.nsi | VDP::410 | en_US |
| dc.identifier.urn | URN:NBN:no-23630 | en_US |
| dc.type.document | Forskningsrapport | en_US |
| dc.identifier.duo | 97316 | en_US |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10586/1/pm31-05.pdf | |