A liquidity-based model for asset price bubbles

DOI10.1080/14697688.2011.620976zbMath1279.91160OpenAlexW3124677603MaRDI QIDQ2873554

Alexandre F. Roch, Philip E. Protter, Robert A. Jarrow

Publication date: 24 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2011.620976

zbMATH Keywords

incomplete marketsbubblescontinuous-time modelslimit order booksliquidity modelinganomalies in prices

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Actuarial science and mathematical finance (91G99)

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Cites Work

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