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Uncertainty relations in models of market microstructure |
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| Institution: | 1. Université del Piemonte Orientale, Dipartimento de Scienze e Tecnologie Avanzate, Via Bellini 25 G, 15100 Alessandria AL, Italy;1. Faculty of Philosophy, University of Groningen, The Netherlands;2. Faculty of Philosophy and Wolfson College, University of Oxford, The United Kingdom |
| Abstract: | 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 lower bound to the contemporaneous measurement of price and trading volume under the invariant measure in the frozen phase of the supercritical regime. |
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