From Discrete to Continuous Time Evolutionary Finance Models

Jan Palczewski and Klaus Schenk-Hoppé
Additional contact information
Jan Palczewski: University of Leeds and University of Warsaw

No 08-30, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: This paper aims to open a new avenue for research in continuoustime financial market models with endogenous prices and heterogenous investors. The main result is the derivation of the limit of a discretetime evolutionary stock market model as the length of the time period tends to zero. The resulting explicit model in continuous time generalizes the workhorse model of mathematical finance by introducing asset prices that are driven by the market interaction of investors following self-financing trading strategies. Our approach also offers a numerical scheme for the simulation of the continuous-time model.

Keywords: evolutionary finance; market interaction; wealth dynamics; self-financing strategies; endogenous prices. (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2008-10
References: Add references at CitEc
Citations:

Downloads: (external link)
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1288564 (application/pdf)

Related works:
Journal Article: From discrete to continuous time evolutionary finance models (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp0830

Access Statistics for this paper

More papers in Swiss Finance Institute Research Paper Series from Swiss Finance Institute Contact information at EDIRC.
Bibliographic data for series maintained by Ridima Mittal ().