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...

Within a financial market where a risk-free bond and a long-lived risky asset are exchanged by investors with heterogeneous trading rules, we assume that the investors most exposed to the risky asset are subject to joint liquidation needs. The latter encompass a risk whenever the market impact...

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...