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20112014
most citedMulti-dimensional Stochastic Singular Control Via Dynkin Game and Dirichlet Form

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q-fin.PR2013

Prospect Agents and the Feedback Effect on Price Fluctuations

Yipeng Yang, Allanus Tsoi

A microeconomic approach is proposed to derive the fluctuations of risky asset price, where the market participants are modeled as prospect trading agents. As asset price is genera…