Applies Hamiltonian mechanics to coupled anharmonic oscillators representing price and inventory, showing risk aversion as the driver of chaotic dynamics that explain excess volatility without external drivers.
Cambridge University Press, 2018, ISBN:978-1- 107-15605-0
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Market Makers and Risk Aversion: A Hamiltonian Approach to the Excess Volatility Puzzle
Applies Hamiltonian mechanics to coupled anharmonic oscillators representing price and inventory, showing risk aversion as the driver of chaotic dynamics that explain excess volatility without external drivers.