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On the interpretation of price adjustments and demand in asset pricing models with mean-variance optimization
Franke, Reiner - 2008
With reference to the class of asset pricing models with a market maker and mean-variance optimization of speculative agents, the note seeks to clarify the concepts behind the price adjustment rule, which are often treated somewhat carelessly in this literature. Calling attention to the...
Persistent link: https://www.econbiz.de/10003738608
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Speculation and survival in financial markets
Kováč, Eugen - 2005
Persistent link: https://www.econbiz.de/10003229999
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Modern approaches to asset price formation : a survey of recent theoretical literature
Kortian, Tro - 1995
Persistent link: https://www.econbiz.de/10000956401
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Arbitraging arbitrageurs
Attari, Mukarram; Mello, António S.; Ruckes, Martin E. - In: The journal of finance : the journal of the American … 60 (2005) 5, pp. 2471-2512
Persistent link: https://www.econbiz.de/10003159463
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Imperfect competition, information heterogeneity, and financial contagion
Pasquariello, Paolo - In: The review of financial studies 20 (2007) 2, pp. 391-426
Persistent link: https://www.econbiz.de/10003554438
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Behavioral aspects of arbitrageurs in timing games of bubbles and crashes
Matsushima, Hitoshi - In: Journal of economic theory 148 (2013) 2, pp. 858-870
Persistent link: https://www.econbiz.de/10009726419
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Speculative markets and the effectiveness of price limits
Westerhoff, Frank - In: Journal of economic dynamics & control 28 (2003) 3, pp. 493-508
Persistent link: https://www.econbiz.de/10001853737
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Risk management, speculation, and derivative securities
Poitras, Geoffrey - 2002
Persistent link: https://www.econbiz.de/10001624573
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Speculative markets and the effectiveness of price limits
Westerhoff, Frank H. - 2001
Persistent link: https://www.econbiz.de/10001627099
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Speculative behavior and asset price dynamics
Westerhoff, Frank H. - 2001
Persistent link: https://www.econbiz.de/10001627103