Corpus ID: 85532131

Analytic solutions in a continuous-time financial market model

@article{Bihary2019AnalyticSI,
  title={Analytic solutions in a continuous-time financial market model},
  author={Z. Bihary and Attila Andr'as V'ig},
  journal={arXiv: General Economics},
  year={2019}
}
We propose a heterogeneous agent market model (HAM) in continuous time. The market is populated by fundamental traders and chartists, who both use simple linear trading rules. Most of the related literature explores stability, price dynamics and profitability either within deterministic models or by simulation. Our novel formulation lends itself to analytic treatment even in the stochastic case. We prove conditions for the (stochastic) stability of the price process, and also for the price to… Expand

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