Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
979542 | Physica A: Statistical Mechanics and its Applications | 2007 | 7 Pages |
Abstract
In this article, we present a discrete time stochastic process, which reflects a microstructure of market dynamics, and prove a convergence to a scaling limit process with a drift term and a jump term. These terms are derived from a macroscopic condition on volumes traded in some time intervals. The mathematical tools for obtaining our results are Dobrushin-Hryniv theory and the method of cluster expansion developed in mathematical studies of statistical mechanics.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Koji Kuroda, Joshin Murai,