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    SIAMCO
    2002
    87views more  SIAMCO 2002»
    Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
    13 years 10 months ago
    Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
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    We consider a market model with one riskfree and one risky asset, in which the dynamics of the risky asset is governed by a geometric Brownian motion. In this market we consider a...
    Bernt Oksendal, Agnès Sulem
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    CI
    2007
    130views more  CI 2007»
    Price Dynamics, Informational Efficiency, and Wealth Distribution in Continuous Double-Auction Markets
    13 years 10 months ago
    Price Dynamics, Informational Efficiency, and Wealth Distribution in Continuous Double-Auction Markets
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    This paper studies the properties of the continuous double auction trading mechanishm using an artificial market populated by heterogeneous computational agents. In particular, we...
    Javier Gil-Bazo, David Moreno, Mikel Tapia
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