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- W89752957 abstract "We present a type of Ito process that models the adjustment of the market price of traded assets to new information affecting supply and demand of an asset. This model is based on supply and demand functions and the Walrasian price adjustment assumption that proportional price increase is driven by excess demand of the asset. We linearise the supply and demand curves about the market equilibrium point, and form a stochastic process that turns out to be logistic form of Brownian motions. Finally, we formulate a variant differential equation to Black-Scholes-Merton partial differential equation." @default.
- W89752957 created "2016-06-24" @default.
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- W89752957 date "2010-08-15" @default.
- W89752957 modified "2023-09-24" @default.
- W89752957 title "Walrasian-Samuelson Price Adjustment Model" @default.
- W89752957 hasPublicationYear "2010" @default.
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