Market Behavior in a Clearing House

DOI10.2307/1913393zbMath0502.90009OpenAlexW1967753816MaRDI QIDQ3968714

Haim Mendelson

Publication date: 1982

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1913393

zbMATH Keywords

renewal theorymarket mechanismsclearing house

Mathematics Subject Classification ID

Trade models (91B60)

Related Items (14)

Limits of Limit-Order Books ⋮ Limiting distribution for a simple model of order book dynamics ⋮ QUEUING, SOCIAL INTERACTIONS, AND THE MICROSTRUCTURE OF FINANCIAL MARKETS ⋮ Limit Order Books, Diffusion Approximations and Reflected SPDEs: From Microscopic to Macroscopic Models ⋮ Clearing price distributions in call auctions ⋮ Non-constant rates and over-diffusive prices in a simple model of limit order markets ⋮ A steady-state model of the continuous double auction ⋮ Fundamentalists clashing over the book: a study of order-driven stock markets ⋮ Statistical theory of the continuous double auction ⋮ Vertical syndication-proof competitive prices in multilateral assignment markets ⋮ THE OPINION GAME: STOCK PRICE EVOLUTION FROM MICROSCOPIC MARKET MODELING ⋮ Auctions as algorithms. Computerized trade execution and price discovery ⋮ A Semi-Markovian Modeling of Limit Order Markets ⋮ Random competitive exchange: Price distributions and gains from trade

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