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and Stein stochastic volatility model driven by two correlated Brownian motion. It turns out that in case the mean …
Persistent link: https://www.econbiz.de/10005858499
In a heterogenous agents framework, we study a randomized version of Zeeman's market model with fundamental and momentum traders. Using methods from random dynamical systems theory, we examine convergence properties of invariant measures which correspond to market equilibria. It turns out that...
Persistent link: https://www.econbiz.de/10005858500