T.V. Theodosopoulos and M.H. Badshah (USA)
Endogenous uncertainty, equity market making
We present a model that investigates the spontaneous emer gence of randomness in equity market microstructure. The phase space analysis of our model exposes an endogenous source of fluctuation in price and volume. We formulate a control problem for maximizing price regularity and stabil ity while minimizing entanglement with the market, rep resenting the NYSE specialists' affirmative obligation to maintain `fair and orderly markets'.
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