LiCalzi, Marco; Pellizzari, Paolo - In: Physica A: Statistical Mechanics and its Applications 359 (2006) C, pp. 619-633
This paper studies an order-driven stock market where agents have heterogeneous estimates of the fundamental value of the risky asset. The agents are budget-constrained and follow a value-based trading strategy which buys or sells depending on whether the price of the asset is below or above its...