Time-varying arbitrage and dynamic price discovery

Bart Frijns, Remco C. J. Zwinkels^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › Academic › peer-review

Original language	English
Pages (from-to)	485-502
Number of pages	18
Journal	Journal of Economic Dynamics & Control
Volume	91
DOIs	https://doi.org/10.1016/j.jedc.2018.03.014
Publication status	Published - Jun 2018
Externally published	Yes

Keywords

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title = "Time-varying arbitrage and dynamic price discovery",

keywords = "Market microstructure, Heterogeneous agent models, Time-varying arbitrage, Price discovery",

author = "Bart Frijns and Zwinkels, {Remco C. J.}",

year = "2018",

month = jun,

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language = "English",

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journal = "Journal of Economic Dynamics & Control",

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AU - Frijns, Bart

AU - Zwinkels, Remco C. J.

PY - 2018/6

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KW - Market microstructure

KW - Heterogeneous agent models

KW - Time-varying arbitrage

KW - Price discovery

U2 - 10.1016/j.jedc.2018.03.014

DO - 10.1016/j.jedc.2018.03.014

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JO - Journal of Economic Dynamics & Control

JF - Journal of Economic Dynamics & Control

SN - 0165-1889

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