From Discrete-Time Models to Continuous-Time, Asynchronous Models of Financial Markets
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Cited by:
- Kazuto Sasai & Yukio-Pegio Gunji & Tetsuo Kinoshita, 2017. "Intermittent Behavior Induced By Asynchronous Interactions In A Continuous Double Auction Model," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 20(02n03), pages 1-21, March.
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More about this item
Keywords
Agent-Based Computational Finance; Artificial Stock Markets; Autonomous Behaviour; Continuous Trading; Glosten and Milgrom Model; Informational Asymmetry; Market Microstructure;All these keywords.
JEL classification:
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
- L15 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Information and Product Quality
- M - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics
- O32 - Economic Development, Innovation, Technological Change, and Growth - - Innovation; Research and Development; Technological Change; Intellectual Property Rights - - - Management of Technological Innovation and R&D
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2006-03-18 (Financial Markets)
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