An agent-based model of a simple financial market with arbitrary number of traders having relatively general behavioral specifications is analyzed. In a pure exchange economy with two assets, riskless and risky, trading takes place in discrete time under endogenous price formation setting....

We analyze the endogenous price formation mechanism of a pure exchange economy with two assets, riskless and risky. The economy is populated by an arbitrarily large number of traders whose investment choices are described by means of generic smooth functions of past realizations. These choices...

The presence of excess covariance in nancial price returns is an accepted empirical fact: the price dynamics of nancial assets tend to be more correlated than their fundamentals would justify. We propose an intertemporal equilibrium multi{assets model of nancial markets with an explicit and...