Abstract
Most exchanges in a decentralized economy are mediated by agents who make markets. This paper applies the elementary theory of such mechanisms to equity markets. Based on stylized institutional and behavioral facts and exploiting the methods of nonlinear dynamics, it explains salient properties of stock market dynamics.
Volume
1:3
Page
6-23
Year
1997
Categories
Financial and Statistical Methods
Asset and Econometric Modeling
Asset Classes
Equities
Actuarial Applications and Methodologies
Enterprise Risk Management
Risk Categories
Financial Risks
Financial and Statistical Methods
Statistical Models and Methods
Time Series
Publications
North American Actuarial Journal
