Kaymak, Uzay; Boer-Sorban, Boer-Sorban, K.; Spiering, … - Erasmus Research Institute of Management (ERIM), … - 2006
Most agent-based simulation models of financial markets are discrete-time in nature. In this paper, we investigate to what degree such models are extensible to continuous-time, asynchronous modelling of financial markets. We study the behaviour of a learning market maker in a market with...