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Bridge over ocean
1 September 2010 Financial Analysts Journal Volume 66, Issue 5

Simulating Security Markets in Dynamic and Equilibrium Modes

  1. Bruce I. Jacobs
  2. Kenneth N. Levy
  3. Harry M. Markowitz

An asynchronous discrete-time model run in “dynamic mode” can model the effects on market prices of changes in strategies, leverage, and regulations, or the effects of different return estimation procedures and different trading rules. Run in “equilibrium mode,” it can be used to arrive at equilibrium expected returns.

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