One of the defects of the current theory of mathematical finance is that the word price is not well defined. We are still in the position of classical physics where position and momentum were represented by numbers. Bohr, Heisenberg, and Schrodinger revealed that this was too simplistic to describe the physical world we live in.

The financial world is still waiting for its Heisenberg. One loose analog of his uncertainty principal is the tradeoff between time and price of an exchange traded instrument. Market orders get executed essentially instantaneously, but there can be slippage in the price. Limit orders will be executed at an exact price, but the execution time is uncertain.


Given an exchange χ = (t; a, i, c; a', i', c') the "price" for the buyer is a'/a.

Last edited Dec 2, 2011 at 2:31 AM by keithalewis, version 3


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