The continuous double auction (CDA) is a well-studied, widely used institution for trading. But there is no generally accepted theory about the dynamics of price formation within the first period that has survived experimental testing. In this paper, we describe a model of behavior (called...

We study the co-evolution of asset prices and individual wealth in a financial market populated by an arbitrary number of heterogeneous, boundedly rational agents. Using wealth dynamics as a selection device we are able to characterize the long run market outcomes, i.e. asset returns and wealth...