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- W1520264233 abstract "This paper aims to open a new avenue for research in continuous-time financial market models with endogenous prices and heterogenous investors. To this end we introduce a discrete-time evolutionary stock market model that accommodates time periods of arbitrary length. The dynamics is time-consistent and allows the comparison of paths with different frequency of trade. The main result in this paper is the derivation of the limit model as the length of the time period tends to zero. The resulting model in continuous time generalizes the workhorse model of mathematical finance by introducing asset prices that are driven by the market interaction of investors following self-financing trading strategies. Our approach also offers a numerical scheme for the simulation of the continuous-time model that satisfies constraints such as market clearing at every time step. An illustration is provided." @default.
- W1520264233 created "2016-06-24" @default.
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- W1520264233 date "2010-05-01" @default.
- W1520264233 modified "2023-09-27" @default.
- W1520264233 title "From discrete to continuous time evolutionary finance" @default.
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