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The behavior of high-frequency traders under different market stress scenarios

Megarbane, Nicolas; Saliba, Pamela; Lehalle, Charles-Albert - In: Market microstructure and liquidity 3 (2017) 3/4, pp. 1-54

Persistent link: https://www.econbiz.de/10011988891

Artificial long memory effects in two agent-based asset pricing models

Franke, Reiner - 2008

long memory completely disappears. -- Volatility clustering ; Autocorrelations of returns ; Fundamentalists and …

Persistent link: https://www.econbiz.de/10003738658

Volatility clustering in financial markets : empirical facts and agent-based models

Cont, Rama - In: Long memory in economics : with 50 tables, (pp. 289-309). 2006

Persistent link: https://www.econbiz.de/10003375648

When overconfident traders meet feedback traders

Boco, Hervé; Germain, Laurent; Rousseau, Fabrice - 2016

Persistent link: https://www.econbiz.de/10011553073

Rational investor sentiment in a repeated stochastic game with imperfect monitoring

Gerber, Anke; Hens, Thorsten; Vogt, Bodo - In: Journal of economic behavior & organization : JEBO 76 (2010) 3, pp. 669-704

Persistent link: https://www.econbiz.de/10008933280

Financial price fluctuations in a stock market model with many interacting agents

Horst, Ulrich - 2001

We consider a financial market model with a large number of interacting agents. Investors are heterogeneous in their expectations about the future evolution of an asset price process. Their current expectation is based on the previous states of their "neighbors" and on a random signal about the...

Persistent link: https://www.econbiz.de/10009613599