Liquidity based modeling of asset price bubbles via random matching
Mathematical Finance
2022-11-03 v2
Abstract
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.
Keywords
Cite
@article{arxiv.2210.13804,
title = {Liquidity based modeling of asset price bubbles via random matching},
author = {Francesca Biagini and Andrea Mazzon and Thilo Meyer-Brandis and Katharina Oberpriller},
journal= {arXiv preprint arXiv:2210.13804},
year = {2022}
}
Comments
37 pages, 3 figures