within Mikko S. Pakkanen
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We show that a trader, who starts with no initial wealth and is not allowed to borrow money or short sell assets, is theoretically able to attain positive wealth by continuous trading, provided that she has pe...
We study microeconomic foundations of diffusion processes as models of stock price dynamics. To this end, we develop a microscopic model of a stock market with finitely many heterogeneous economic agents, who ...