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    SIAMCO
    2002
    87views more  SIAMCO 2002»
    Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
    14 years 3 days 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
    14 years 8 days 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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