On the Interpretation of Price Adjustments and Demand in Asset Pricing Models with Mean-Variance Optimization
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- Reiner Franke & Toichiro Asada, 2008. "Incorporating positions into asset pricing models with order-based strategies," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 3(2), pages 201-227, December.
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- Daniel Fricke & Thomas Lux, 2015.
"The effects of a financial transaction tax in an artificial financial market,"
Journal of Economic Interaction and Coordination,
Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 10(1), pages 119-150, April.
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More about this item
KeywordsExpected wealth maximization; market maker; positions of speculative agents;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-09-20 (All new papers)
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