Wavelet based multi-scale analysis of financial time series has attracted much attention, lately, from both the academia and practitioners from all around the world. The unceasing metamorphosis of the discipline of finance from its humble beginning as applied economics to the more sophisticated...

The positive relation between stock price changes and trading volume (price–volume relationship) as a stylized fact has attracted significant interest among finance researchers and investment practitioners. However, until now, consensus has not been reached regarding the causes of the...

In this paper the diffusion entropy technique is applied to investigate the scaling behavior of financial markets. The scaling behaviors of four representative stock markets, Dow Jones Industrial Average, Standard&Poor 500, Heng Seng Index, and Shang Hai Stock Synthetic Index, are almost the...

Recent literature has developed the conjecture that important statistical features of stock price series, such as the fat tails phenomenon, may depend mainly on the market microstructure. This conjecture motivated us to investigate the roles of both the market microstructure and agent behavior...

Many scholars express concerns that herding behaviour causes excess volatility, destabilises financial markets, and increases the likelihood of systemic risk. We use a special form of the Strongly Typed Genetic Programming (STGP) technique to evolve a stock market divided into two groups—a...

In this paper we present a continuous time dynamical model of heterogeneous agents interacting in a financial market where transactions are cleared by a market maker. The market is composed of fundamentalist, trend following and contrarian agents who process market information with different...

We introduce a multi-asset artificial financial market with finite amount of cash and number of stocks. The background trading is characterized by a random trading strategy constrained by the finiteness of resources and by market volatility. Stock price processes exhibit volatility clustering,...

In this paper, a general equilibrium model of a monetary production economy is presented. The model is characterized by three classes of agents: a representative firm, heterogeneous households, and the government. Two markets (i.e., a labour market and a goods market, are considered) and two...

We investigate a toy model of inductive interacting agents aiming to forecast a continuous, exogenous random variable E. Private information on E is spread heterogeneously across agents. Herding turns out to be the preferred forecasting mechanism when heterogeneity is maximal. However in such...

We report some findings from our simulations of the Levy, Levy and Solomon microscopic stock market model. Our results cast doubts on some of the results published in the original papers (i.e., chaotic stock price movements). We also point out the possibility of sensitive dependence on initial...