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Persistent link: https://www.econbiz.de/10008856295
Simulations of agent-based models have shown that the stylized facts (unit-root, fat tails and volatility clustering) of financial markets have a possible explanation in the interactions among agents. However, the complexity, originating from the presence of non-linearity and interactions, often...
Persistent link: https://www.econbiz.de/10003392142
Financial markets (share markets, foreign exchange markets and others) are all characterized by a number of universal power laws. The most prominent example is the ubiquitous finding of a robust, approximately cubic power law characterizing the distribution of large returns. A similarly robust...
Persistent link: https://www.econbiz.de/10003392144
High-frequency financial data are characterized by a set of ubiquitous statistical properties that prevail with surprising uniformity. While these 'stylized facts' have been well-known for decades, attempts at their behavioral explanation have remained scarce. However, recently a new branch of...
Persistent link: https://www.econbiz.de/10003721495
Persistent link: https://www.econbiz.de/10001781210