A prototype model of speculative dynamics with position-based trading
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References listed on IDEAS
- Frank Westerhoff, 2003. "Market-maker, inventory control and foreign exchange dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 3(5), pages 363-369.
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- Fabio Tramontana & Laura Gardini & Frank Westerhoff, 2011. "Heterogeneous Speculators and Asset Price Dynamics: Further Results from a One-Dimensional Discontinuous Piecewise-Linear Map," Computational Economics, Springer;Society for Computational Economics, vol. 38(3), pages 329-347, October.
- Dieci, Roberto & Westerhoff, Frank, 2010. "Heterogeneous speculators, endogenous fluctuations and interacting markets: A model of stock prices and exchange rates," Journal of Economic Dynamics and Control, Elsevier, vol. 34(4), pages 743-764, April.
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KeywordsAsset pricing Market maker risk aversion Misalignment Neutral delay-differential equation;
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