Browsing by Subject "stochastic price impact"

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  • Endogenous Market Turbulence 

    Tambakis, Demosthenes N (CFAP, Cambridge Judge Business School, University of Cambridge, 2006-04)
    In this paper I study a nonlinear feedback trading model which can generate stable, unstable, turbulent or chaotic asset returns depending on market conditions. The dynamics are driven by the stochastic price impact of net ...