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Multifractional processes in finance
Bianchi, Sergio; Pianese, Augusto - In: Risk and decision analysis 5 (2014) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10010492606
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An agent-based stochastic volatility model
Alfarano, Simone - 2006
Persistent link: https://www.econbiz.de/10003307294
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Predator-prey model for stock market fluctuations
Montero, Miquel - In: Journal of economic interaction and coordination 16 (2021) 1, pp. 29-57
Persistent link: https://www.econbiz.de/10012428415
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Volatility analysis of financial agent-based market dynamics from stochastic contact system
Xiao, Di; Wang, Jun; Niu, Hongli - In: Computational economics 48 (2016) 4, pp. 607-625
Persistent link: https://www.econbiz.de/10011712544
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Artificial long memory effects in two agent-based asset pricing models
Franke, Reiner - 2008
This note is concerned with two recent agent-based models of speculative dynamics from the literature, one by Gaunersdorfer and Hommes and the other by He and Li. At short as well as long lags, both of them display an autocorrelation structure in absolute and squared returns that comes...
Persistent link: https://www.econbiz.de/10003738658
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Explaining the statistical features of the Spanish stock market from the bottom-up
Pascual, José A.; Pajares Gutiérrez, Javier; … - In: Advances in artificial economics : the economy as a …, (pp. 283-294). 2006
Persistent link: https://www.econbiz.de/10003481691
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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
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The microeconomic foundations of instability in financial markets
Kirman, Alan P. - In: Long memory in economics : with 50 tables, (pp. 311-344). 2006
Persistent link: https://www.econbiz.de/10003375653
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Mean field effects and interaction cycles in financial markets
Leombruni, R.; Palistrini, A.; Gallegati, Mauro - In: Heterogenous agents, interactions and economic performance, (pp. 259-275). 2003
Persistent link: https://www.econbiz.de/10001750268
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3 % rules the market : herding behavior of a group of investors, asset market volatility, and return to the group in an agent-based model
Lee, Sunyoung; Lee, Keun - In: Journal of economic interaction and coordination 16 (2021) 2, pp. 359-380
Persistent link: https://www.econbiz.de/10012496635