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Page 1: Supply and Shorting in Speculative Markets Marcel … · Supply and Shorting in Speculative Markets Marcel Nutz, Columbia University Supply and Shorting in Speculative Markets We

SupplyandShortinginSpeculativeMarketsMarcelNutz,ColumbiaUniversitySupplyandShortinginSpeculativeMarketsWestudytheformationofassetpricesinequilibrium.Inourmodel,agentswho“agreetodisagree”interactincontinuoustimeandgiverisetoatractableequilibriumthatisdescribedbyaPDEofHamilton-Jacobi-Bellmantypeandrevealstheinfluenceofspeculation,short-selling,andexogenoussupply.Work-in-progresswithJoseScheinkman

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Price Movements in Speculative Markets: Trends or …history.technicalanalysis.org.uk/Alex64.pdf · Price Movements in Speculative Markets: Trends or Random Walks. Created Date: 6/6/2002

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