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 ris
β¦ LIBER β¦
Long-memory in an order-driven market
β Scribed by Blake LeBaron; Ryuichi Yamamoto
- Publisher
- Elsevier Science
- Year
- 2007
- Tongue
- English
- Weight
- 131 KB
- Volume
- 383
- Category
- Article
- ISSN
- 0378-4371
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