Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents

Gunter M. Schütz, Fernando Pigeard de Almeida Prado, Rosemary J. Harris +1

We introduce a stochastic heterogeneous interacting-agent model for the short-time non-equilibrium evolution of excess demand and price in a stylized asset market. We consider a co…