Time-varying arbitrage and dynamic price discovery

DOI10.1016/j.jedc.2018.03.014zbMath1401.91072OpenAlexW3125287927WikidataQ130025092 ScholiaQ130025092MaRDI QIDQ1657391

Bart Frijns, Remco C. J. Zwinkels

Publication date: 13 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://research.vu.nl/en/publications/058eb20e-4e8f-4674-9788-c03bde3718fe

zbMATH Keywords

market microstructureprice discoveryheterogeneous agent modelstime-varying arbitrage

Mathematics Subject Classification ID

Heterogeneous agent models (91B69)

Cites Work

• Behavioral heterogeneity in the option market
• Heterogeneity of agents, transactions costs and the exchange rate
• Behavioral heterogeneity in stock prices
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• The stock-bond comovements and cross-market trading
• Speculative behavior and the dynamics of interacting stock markets
• The impact of heterogeneous trading rules on the limit order book and order flows
• A Rational Route to Randomness

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