On Simulation of the Nash Equilibrium in the Stock Exchange Contest

@article{Mockus2012OnSO,
  title={On Simulation of the Nash Equilibrium in the Stock Exchange Contest},
  author={Jonas Mockus},
  journal={Informatica, Lith. Acad. Sci.},
  year={2012},
  volume={23},
  pages={77-104}
}
A simple Stock Exchange Game Model (SEGM) was introduced in Mockus (2003), to simulate the behavior of several stockholders using fixed buying-selling margins at fixed bank yield. In this paper, an extended model USEGM is proposed. The advantage of USEGM is application of the Nash Equilibrium (NE) to strategies that define buying-selling margins and bank haircuts dynamically. This enables us to simulate market illiquidity that is an important feature of the present financial crisis (Allen, 2008… CONTINUE READING
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