A prototype model of speculative dynamics with position-based trading

DOI10.1016/j.jedc.2009.01.006zbMath1170.91382OpenAlexW2009124697MaRDI QIDQ2270567

Reiner Franke

Publication date: 28 July 2009

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

Full work available at URL: https://doi.org/10.1016/j.jedc.2009.01.006

zbMATH Keywords

asset pricingmisalignmentneutral delay-differential equationmarket maker risk aversion

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50)

Related Items (3)

Interactions between stock, bond and housing markets ⋮ Heterogeneous speculators and asset price dynamics: Further results from a one-dimensional discontinuous piecewise-linear map ⋮ Heterogeneous speculators, endogenous fluctuations and interacting markets: a model of stock prices and exchange rates

Cites Work

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• Some simple criteria for stability of neutral delay-differential systems
• Market-maker, inventory control and foreign exchange dynamics
• Complex Dynamics, Market Mediation and Stock Price Behavior
• The Nonlinear Accelerator and the Persistence of Business Cycles

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