Anufriev, Mikhail; Panchenko, Valentyn - In: Journal of Economic Dynamics and Control 33 (2009) 5, pp. 1073-1090
The dynamics of a financial market with heterogeneous agents are analyzed under different market architectures. We start with a tractable behavioral model under Walrasian market clearing and simulate it under different trading protocols. The key behavioral feature of the model is the switching...