论文标题
通过随机匹配的资产价格气泡基于流动性的建模
Liquidity based modeling of asset price bubbles via random matching
论文作者
论文摘要
在本文中，我们研究了由投资者在基于流动性的模型的离散时间版本中通过随机匹配机制在投资者之间传播的资产价格气泡的演变。在此范围内，我们将Markov的[13]有条件独立的动态定向匹配扩展到随机设置，以在模型中包括随机的外源性因素。我们得出条件，保证金融市场模型是无套利的，并提供了一些数值模拟，以说明我们的方法。
In this paper we study the evolution of asset price bubbles driven by contagion effects spreading among investors via a random matching mechanism in a discrete-time version of the liquidity based model of [25]. To this scope, we extend the Markov conditionally independent dynamic directed random matching of [13] to a stochastic setting to include stochastic exogenous factors in the model. We derive conditions guaranteeing that the financial market model is arbitrage-free and present some numerical simulation illustrating our approach.
