Liquidity generated by heterogeneous beliefs and costly estimations

DOI10.3934/nhm.2012.7.349zbMath1268.91179OpenAlexW2112292988MaRDI QIDQ1941602

Min Shen, Gabriel Turinici

Publication date: 21 March 2013

Published in: Networks and Heterogeneous Media (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/nhm.2012.7.349

zbMATH Keywords

heterogeneous beliefsmean field gamesliquidity risktrading volumeinformation costheterogeneous liquidityliquidity modelresearch costtransaction volume

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Differential games (aspects of game theory) (91A23) Applications of game theory (91A80) Microeconomic theory (price theory and economic markets) (91B24) Stochastic games, stochastic differential games (91A15) Auctions, bargaining, bidding and selling, and other market models (91B26) Heterogeneous agent models (91B69)

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