The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Market Behavior in a Clearing House
Abstract
One of the most fundamental market mechanisms is the clearing house, where orders are accumulated over time and the market is cleared periodically. The issue addressed in this study is the statistical behavior of the market under this neutral mechanism in the framework of a tractable stochastic model which captures the underlying uncertainties and indivisibilities in the demand and supply schedules. Applying renewal theory, we derive closed-form results for the behavior of prices and quantities, and pursue the implications of the possibility of no-trade and the multiplicity of market-clearing prices.
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Citations
Cites
Public Regulation of the Securities Markets
Stigler, G. J. (1964) · The Journal of Business · doi:10.1086/294677 · Cited by 679
Cited by
Asset pricing and the bid-ask spread
Amihud, Y., & Mendelson, H. (1986) · Journal of Financial Economics · doi:10.1016/0304-405x(86)90065-6 · Cited by 5,090
Self-citationAmihud, Y., Mendelson, H., & Pedersen, L. H. (2005) · Foundations and Trends® in Finance · doi:10.1561/0500000003 · Cited by 820
Self-citationThe Effects of Beta, Bid‐Ask Spread, Residual Risk, and Size on Stock Returns
AMIHUD, Y., & MENDELSON, H. (1989) · The Journal of Finance · doi:10.1111/j.1540-6261.1989.tb05067.x · Cited by 522
Self-citation
Metadata
- Authors
- Mendelson, H.
- Venue
- Econometrica
- Publisher
- JSTOR
- Published
- 1982-11
- Volume
- 50
- Issue
- 6
- Pages
- 1505
- ISSN
- 0012-9682 (ISSN-L)
- OpenAlex
- W1967753816
- Cited by
- 183
- References
- 1
- FWCI
- 5.80
- Type
- journal article
- Language
- en
- Open access
- closed
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- CoChat. (2026). Citation check: Market Behavior in a Clearing House. https://app.cochat.ai/papers/10.2307/1913393
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- Mendelson, H. (1982). Market Behavior in a Clearing House. Econometrica. https://doi.org/10.2307/1913393
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
