Quantitative Model of Price Diffusion and Market Friction Based on Trading as a Mechanistic Random Process

Quantitative Model of Price Diffusion and Market Friction Based on Trading as a Mechanistic Random Process.


Type: journal

Daniels, M. G., J. D. Farmer, L. Gillemot, G. Iori, and E. Smith. 'Quantitative Model of Price Diffusion and Market Friction Based on Trading as a Mechanistic Random Process.' Phys. Rev. Lett. 90(10) (2003): 108102.


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