Adriaens, Hendri; Melenberg, Bertrand; Donkers, Bas - Society for Computational Economics - SCE - 2006
modelling asset prices in financial markets under the assumption of no arbitrage when there is ambiguity. We argue that … coherence, as introduced by Shafer and Vovk (2001), becomes the guiding principle in modelling financial markets without … arbitrage opportunities. Next, we illustrate that artificial financial markets, that can be investigated using microscopic …