Time-varying arbitrage and dynamic price discovery

Bart Frijns, Remco C. J. Zwinkels*

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

Original languageEnglish
Pages (from-to)485-502
Number of pages18
JournalJournal of Economic Dynamics & Control
Volume91
DOIs
Publication statusPublished - Jun 2018
Externally publishedYes

Keywords

  • Market microstructure
  • Heterogeneous agent models
  • Time-varying arbitrage
  • Price discovery

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