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Market force, ecology and evolution

Abstract:

Markets have internal dynamics leading to excess volatility and other phenomena that are difficult to explain using rational expectations models. This paper studies these using a nonequilibrium price formation rule, developed in the context of trading with market orders. Because this is so much simpler than a standard inter-temporal equilibrium model, it is possible to study multi-period markets analytically. There price dynamics have second order oscillatory terms. Value investing does not ...

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Institution:
University of Oxford
Department:
Oxford, MPLS, Mathematical Inst
Role:
Author
Publication date:
1998-12-18
URN:
uuid:37e15b7d-e970-456e-b3b0-c72097fbb188
Source identifiers:
387650
Local pid:
pubs:387650
Keywords:

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