Similar Search Results

Time variation of higher moments in a financial market with heterogeneous agents : an analytical approach

Alfarano, Simone; Lux, Thomas; Wagner, Friedrich - In: Journal of economic dynamics & control 32 (2008) 1, pp. 101-136

Persistent link: https://www.econbiz.de/10003622727

Time-variation of higher moments in a financial market with heterogeneous agents : an analytical approach

Alfarano, Simone (contributor); Lux, Thomas (contributor); … - 2006

by analytical solutions of a simple variant of the seminal herding model introduced by Kirman (1993). Embedding the … herding framework into a simple equilibrium asset pricing framework, we are able to derive closed-form solutions for the time …

Persistent link: https://www.econbiz.de/10003392174

The red queen principle and the emergence of efficient financial markets : an agent based approach

Markose, Sheri M.; Tsang, Edward; Martinez Jaramillo, … - In: Nonlinear dynamics and heterogeneous interacting agents …, (pp. 287-303). 2005

Persistent link: https://www.econbiz.de/10002775717

Why a simple herding model may generate the stylized facts of daily returns : explanation and estimation

Franke, Reiner; Westerhoff, Frank H. - 2011

and chartists, comprises four features: (i) price determination by excess demand; (ii) a herding mechanism that gives rise …

Persistent link: https://www.econbiz.de/10009424773

A noise trader model as a generator of apparent financial power laws and long memory

Alfarano, Simone; Lux, Thomas - In: Macroeconomic dynamics 11 (2007), pp. 80-101

Persistent link: https://www.econbiz.de/10003616333

A noise trader model as a generator of apparent financial power laws and long memory

Alfarano, Simone (contributor); Lux, Thomas (contributor) - 2005

: fundamentalists and chartists, and their interactions are based on a variant of the herding mechanism introduced by Kirman [1993]. The …

Persistent link: https://www.econbiz.de/10003077003

Market stability vs. market resilience : regulatory policies experiments in an agent based model with low- and high-frequency trading

Jacob Leal, Sandrine; Napoletano, Mauro - 2016

We investigate the effects of different regulatory policies directed towards high-frequency trading (HFT) through an agent-based model of a limit order book able to generate flash crashes as the result of the interactions between low- and high-frequency (HF) traders. We analyze the impact of the...

Persistent link: https://www.econbiz.de/10011457384

Market stability vs. market resilience : regulatory policies experiments in an agent-based model with low- and high-frequency trading

Leal, Sandrine Jacob; Napoletano, Mauro - 2016

Persistent link: https://www.econbiz.de/10011644118

Market stability vs. market resilience : regulatory policies experiments in an agent-based model with low- and high-frequency trading

Leal, Sandrine Jacob; Napoletano, Mauro - In: Journal of economic behavior & organization : JEBO 157 (2019), pp. 15-41

Persistent link: https://www.econbiz.de/10012138458

How do the differences among order distributions affect the rate of investment returns and the contract rate

Yamamoto, Shingo; Wada, Shihomi; Kawagoe, Toshiji - In: Artificial economics : agent-based methods in finance, …, (pp. 227-237). 2006

Persistent link: https://www.econbiz.de/10003174425

1
2
3
4
5
6
7
8
9
10
Next
Last