A Financial Market Model for the Netherlands

2014 ◽  
Author(s):  
Nick Draper
Keyword(s):  
The Netherlands ◽  
Financial Market ◽  
Market Model

A financial market model with confirmation bias

2019 ◽  
Vol 51 ◽  
pp. 252-259 ◽  
Author(s):  
Alessia Cafferata ◽  
Fabio Tramontana
Keyword(s):  
Financial Market ◽  
Confirmation Bias ◽  
Market Model

Principles for modelling financial markets

1996 ◽  
Vol 33 (03) ◽  
pp. 601-613 ◽  
Author(s):  
Eckhard Platen ◽  
Rolando Rebolledo
Keyword(s):  
Financial Markets ◽  
Financial Market ◽  
Real World ◽  
Market Model ◽  
Rate Of Return ◽  
Probability Measures ◽  
Market Clearing ◽  
The Difference ◽  
Risk Free Rate ◽  
Free Rate

The paper introduces an approach focused towards the modelling of dynamics of financial markets. It is based on the three principles of market clearing, exclusion of instantaneous arbitrage and minimization of increase of arbitrage information. The last principle is equivalent to the minimization of the difference between the risk neutral and the real world probability measures. The application of these principles allows us to identify various market parameters, e.g. the risk-free rate of return. The approach is demonstrated on a simple financial market model, for which the dynamics of a virtual risk-free rate of return can be explicitly computed.

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