From discrete to continuous time evolutionary finance models

DOI10.1016/J.JEDC.2009.12.005MaRDI QIDQ964562zbMATH OpenOpenAlexWikidataFDO

Authors Jan Palczewski, Klaus R. Schenk-Hoppé

Publication date 22 April 2010

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL http://eprints.whiterose.ac.uk/79163/1/Discrete2Cont.pdf

zbMATH Keywords

continuous-time limitendogenous priceevolutionary financeself-financing strategywealth dynamicsmarket interaction

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Financial applications of other theories (91G80) Heterogeneous agent models (91B69)

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Cites work

• scientific article; zbMATH DE number 1201579 (Why is no real title available?)
• scientific article; zbMATH DE number 3238721 (Why is no real title available?)
• A CONTINUOUS TIME APPROXIMATION OF AN EVOLUTIONARY STOCK MARKET MODEL
• A Stochastic Version of Zeeman's Market Model
• Arbitrage Theory in Continuous Time
• Asset price and wealth dynamics in a financial market with heterogeneous agents
• Evolutionary stability of portfolio rules in incomplete markets
• Evolutionary stable stock markets
• Globally evolutionarily stable portfolio rules
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• Market selection of constant proportions investment strategies in continuous time
• More hedging instruments may destabilize markets
• On the unstable behaviour of stock exchanges
• Stochastic calculus for finance. II: Continuous-time models.
• Time variation of higher moments in a financial market with heterogeneous agents: an analytical approach
• Time variation of second moments from a noise trader/infection model
• Weak convergence of financial markets.

Cited in

(6)

• scientific article; zbMATH DE number 1376674 (Why is no real title available?)
• Market selection of constant proportions investment strategies in continuous time
• Survival investment strategies in a continuous-time market model with competition
• A continuous-time asset market game with short-lived assets
• Numerical simulation of a diffusion type evolutionary stock market model
• A CONTINUOUS TIME APPROXIMATION OF AN EVOLUTIONARY STOCK MARKET MODEL

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