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Measuring financial cycle time
Filardo, Andrew J.; Lombardi, Marco; Raczko, Marek - 2018
Persistent link: https://www.econbiz.de/10011979923
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Measuring financial cycle time
Filardo, Andrew J.; Lombardi, Marco; Raczko, Marek - 2019
Persistent link: https://www.econbiz.de/10011961246
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Evolutionary frequency and forecasting accuracy : simulations based on an agent-based artificial stock market
Huang, Ya-Chi; Tsao, Chueh-Yung - In: Computational economics 52 (2018) 1, pp. 79-104
Persistent link: https://www.econbiz.de/10012052922
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The Genoa artificial stock market : microstructure and simulations
Marchesi, M. (contributor) - In: Heterogenous agents, interactions and economic performance, (pp. 277-289). 2003
Persistent link: https://www.econbiz.de/10001750269
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A minimal noise trader model with realistic time series properties
Alfarano, Simone (contributor); Lux, Thomas (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001781210
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Effizienz in Aktienmärkten : Bewertung von Information unter Berücksichtigung von Wechselwirkungen in Multiagentensystemen
Rothenstein, Roland - 2004
Persistent link: https://www.econbiz.de/10002230490
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A nonlinear structural model for volatility clustering
Gaunersdorfer, Andrea; Hommes, Cars H. - In: Long memory in economics : with 50 tables, (pp. 265-288). 2006
Persistent link: https://www.econbiz.de/10003375647
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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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Long memory and hysteresis
Peretti, Christian de - In: Long memory in economics : with 50 tables, (pp. 363-389). 2006
Persistent link: https://www.econbiz.de/10003375660
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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