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This short note provides a systematic construction of market models without unbounded profits but with arbitrage opportunities.
Persistent link: https://www.econbiz.de/10010721366
In this paper we develop a model of an order-driven market where traders set bids and asks and post market or limit orders according to exogenously fixed rules. Agents are assumed to have three components to the expectation of future asset returns, namely-fundamentalist, chartist and noise...
Persistent link: https://www.econbiz.de/10005099040