2002/02/26 by Matteo Marsili, Maurizio Piai · 1 citation
Economics, Econometrics and Finance · Physics and Astronomy · #Algorithmic trading #Arbitrage #Complex Systems and Time Series Analysis #Econometrics #Economic theories and models #Economics #Finance #Financial Risk and Volatility Modeling #Financial economics #Financial market #Function (biology) #High-frequency trading #Market microstructure #Microeconomics #Order (exchange) #Phase (matter) #Simple (philosophy) #cond-mat.dis-nn #cond-mat.stat-mech #q-fin.TR
paper · pdf · doi:10.1016/s0378-4371(02)00800-2
15 pages, 3 figures
arxiv created 2002/02/26 · openalex publication_date 2002/07/01 · arxiv updated 2009/11/30 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/05
We study the behavior of simple models for financial markets with widely spread frequency either in the trading activity of agents or in the occurrence of basic events. The generic picture of a phase transition between information efficient and inefficient markets still persists even when agents trade on widely spread time-scales. We derive analytically the dependence of the critical threshold on the distribution of time-scales. We also address the issue of market efficiency as a function of frequency. In an inefficient market we find that the size of arbitrage opportunities is inversely proportional to the frequency of the events on which they occur. Greatest asymmetries in market outcomes are concentrated on the most rare events. The practical limits of the applications of these ideas to real markets are discussed in a specific example.