Continuous versus Discrete Market Games

@inproceedings{Marino2005ContinuousVD,
  title={Continuous versus Discrete Market Games},
  author={A. Marino and Bernard De Meyer and De Meyer and Moussa Saley},
  year={2005}
}
De Meyer and Moussa Saley [4] provide an endogenous justification for the appearance of Brownian Motion in Finance by modeling the strategic interaction between two asymmetrically informed market makers with a zero-sum repeated game with one-sided information. The crucial point of this justification is the appearance of the normal distribution in the asymptotic behavior of Vn(P ) √ n . In De Meyer and Moussa Saley’s model [4], agents can fix a price in a continuous space. In the real world… CONTINUE READING

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