Search Results - subject:"Glosten and Milgrom Model"

From Discrete-Time Models to Continuous-Time, Asynchronous Models of Financial Markets

Kaymak, Uzay; Boer-Sorban, K.; Spiering, J. - Erasmus Research Institute of Management (ERIM), ERIM … - 2006

Keywords Agent-Based Computational Finance, Artificial Stock Markets, Market Microstructure, Glosten and Milgrom Model … stock markets, market microstructure, Glosten and Milgrom model, informational asymmetry, continuous trading, autonomous … version of the information-based Glosten and Milgrom model proposed in [9]. We combine the learning market maker, which Das …

Persistent link: https://www.econbiz.de/10005505018

From Discrete-Time Models to Continuous-Time, Asynchronous Models of Financial Markets

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...

Persistent link: https://www.econbiz.de/10010731087