The behavior of speculative prices and the consistency of economic models
β Scribed by Robert I. Webb
- Publisher
- Elsevier Science
- Year
- 1985
- Tongue
- English
- Weight
- 564 KB
- Volume
- 27
- Category
- Article
- ISSN
- 0304-4076
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
Constant and symmetric price impact functions, most commonly used in agent-based market modelling, are shown to give rise to paradoxical and inconsistent outcomes in the simplest case of arbitrage exploitation when open-hold-close actions are considered. The solution of the paradox lies in the non-c
Recently there has been much research treating housing and other real assets as financial claims, primarily in order to value their derivative assets, such as mortgages and mortgage-backed securities. Real asset prices are then typically modeled as a lognormal process, in the same manner that has tr