Showing papers by "Stefan Thurner published in 2000"
TL;DR: In this paper, a dynamical price formation model for financial assets is presented, which aims to capture the essence of speculative trading where mispricings of assets are used to make profits.
Abstract: A dynamical price formation model for financial assets is presented. It aims to capture the essence of speculative trading where mispricings of assets are used to make profits. It is shown that together with the incorporation of the concept of risk aversion of agents the model is able to reproduce several key characteristics of financial price series. The approach is contrasted to the conventional view of price formation in financial economics.
4 citations