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SIMULATING AN EVOLUTIONARY MULTI-AGENT BASED MODEL OF THE STOCK MARKET
MARICA, Diana - 2015
The paper focuses on artificial stock market simulations using a multi-agent model incorporating 2,000 heterogeneous agents interacting on the artificial market. The agents interaction is due to trading activity on the market through a call auction trading mechanism. The multi-agent model uses...
Persistent link: https://www.econbiz.de/10011319140
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Rational speculators, contrarians, and excess volatility
Lof, Matthijs - In: Management science : journal of the Institute for … 61 (2015) 8, pp. 1889-1901
Persistent link: https://www.econbiz.de/10011338806
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A note on bubbles, worthless assets, and the curious case of General Motors
Ahn, Tom; Sandford, Jeremy; Shea, Paul - In: Macroeconomic dynamics 18 (2014) 1, pp. 244-254
Persistent link: https://www.econbiz.de/10010356147
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Asset pricing with heterogeneous agents and long-run risk
Pohl, Walter; Schmedders, Karl; Wilms, Ole - In: Journal of financial economics 140 (2021) 3, pp. 941-964
Persistent link: https://www.econbiz.de/10013259610
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Price dynamics in a market with heterogeneous investment horizons and boundedly rational traders
Chauveau, Thierry; Subbotin, Alexander - In: Journal of economic dynamics & control 37 (2013) 5, pp. 1040-1065
Persistent link: https://www.econbiz.de/10009738270
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Estimating the elasticity of intertemporal substitution accounting for stockholder-specific portfolios
Bonaparte, Yosef; Fabozzi, Frank J. - In: Applied economics letters 24 (2017) 13/15, pp. 923-927
Persistent link: https://www.econbiz.de/10011714413
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Asset prices and wealth dynamics in a financial market with random demand shocks
Dindo, Pietro; Staccioli, Jacopo - In: Journal of economic dynamics & control 95 (2018), pp. 187-210
Persistent link: https://www.econbiz.de/10012004924
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Intertemporal asset pricing with bitcoin
Koutmos, Dimitrios; Payne, James E. - In: Review of quantitative finance and accounting 56 (2021) 2, pp. 619-645
Persistent link: https://www.econbiz.de/10012432684
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Investment horizon heterogeneity and wavelet: Overview and further research directions
Chakrabarty, Anindya; De, Anupam; Gunasekaran, Angappa; … - In: Physica A: Statistical Mechanics and its Applications 429 (2015) C, pp. 45-61
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...
Persistent link: https://www.econbiz.de/10011264574
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International asset pricing with heterogeneous agents : estimation and inference
Tédongap, Roméo; Tinang, Jules - In: Journal of empirical finance 75 (2024), pp. 1-26
Persistent link: https://www.econbiz.de/10014491863