Emergent volatility in asset markets with heterogeneous agents.
Li, Honggang, Rosser, J. Barkley jun. (2001)
Discrete Dynamics in Nature and Society
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Displaying similar documents to “Generation of predictive price and trading volume patterns in a model of dynamically evolving free market supply and demand.”
Emergent volatility in asset markets with heterogeneous agents.
Financial Claims and Product Market Competition: an Explanation for Permitting Banks to Hold Equity in Firms
Shin-Heng Pao, Jyh-Horng Lin (2008)
The Yugoslav Journal of Operations Research
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Heterogeneous traders, price-volume signals, and complex asset price dynamics.
Westerhoff, Frank H. (2005)
Discrete Dynamics in Nature and Society
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Evaluating Total Operational Value and Associated Risks of Financial Holding Companies in Taiwan
Li-Hui Chen (2010)
The Yugoslav Journal of Operations Research
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Bank valuation and its connections with the subprime mortgage crisis and basel II capital accord.
Fouche, C.H., Mukuddem-Petersen, J., Petersen, M.A., Senosi, M.C. (2008)
Discrete Dynamics in Nature and Society
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A method of determining risk zones of investment in real estate
L. Ustinovichius, V. Podvezko, R. Ginevicius (2006)
Control and Cybernetics
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Dynamic model of market with uninformed market maker
Martin Šmíd, Miloš Kopa (2017)
Kybernetika
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We model a market with multiple liquidity takers and a single market maker maximizing his discounted consumption while keeping a prescribed probability of bankruptcy. We show that, given this setting, spread and price bias (a difference between the midpoint- and the expected fair price) depend solely on the MM's inventory and his uncertainty concerning the fair price. Tested on ten-second data from ten US electronic markets, our model gives significant results with the price bias decreasing...
A time-series approach to non-self-financing hedging in a discrete-time incomplete market.
Josephy, N., Kimball, L., Steblovskaya, V. (2008)
Journal of Applied Mathematics and Stochastic Analysis
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Pricing forward-start options in the HJM framework; evidence from the Polish market
P. Sztuba, A. Weron (2001)
Applicationes Mathematicae
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We show how to use the Gaussian HJM model to price modified forward-start options. Using data from the Polish market we calibrate the model and price this exotic option on the term structure. The specific problems of Central Eastern European emerging markets do not permit the use of the popular lognormal models of forward LIBOR or swap rates. We show how to overcome this difficulty.
Multiscale behavior of a simple model for stock markets.
Sánchez, Juan R. (2005)
Discrete Dynamics in Nature and Society
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Liquidity Management and Futures Hedging Under Deposit Insurance: an Option-Based Analysis
Jyh-Horng Lin, Chuen-Ping Chang (2004)
The Yugoslav Journal of Operations Research
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Instantaneous self-fulfilling of long-term prophecies on the probabilistic distribution of financial asset values
P.-L. Lions, J.-M. Lasry (2007)
Annales de l'I.H.P. Analyse non linéaire
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Economic system dynamics.
McCauley, Joseph L., Küffner, Cornelia M. (2004)
Discrete Dynamics in Nature and Society
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