A liquidity-based model for asset price bubbles
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Publication:2873554
DOI10.1080/14697688.2011.620976zbMath1279.91160OpenAlexW3124677603MaRDI QIDQ2873554
Alexandre F. Roch, Philip E. Protter, Robert A. Jarrow
Publication date: 24 January 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2011.620976
incomplete marketsbubblescontinuous-time modelslimit order booksliquidity modelinganomalies in prices
Macroeconomic theory (monetary models, models of taxation) (91B64) Actuarial science and mathematical finance (91G99)
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Cites Work
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- Order book approach to price impact
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- Continuous Auctions and Insider Trading
- Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
- Hedging and Portfolio Optimization in Financial Markets with a Large Trader
