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Evolutionary model on market ecology of investors and investments

Gao, Ya-Chun; Cai, Shi-Min; Lü, Linyuan; Wang, Bing-Hong - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 16, pp. 3385-3391

The interactions between investors and investments are of significant importance to understand the dynamics of financial markets. An evolutionary model is proposed to investigate the dynamic behaviors of investors and investments in a market ecology. The investors are divided into two groups,...

Persistent link: https://www.econbiz.de/10011060899

Financial Market Design by an Agent-Based Model

Mizuta, Takanobu; Yagi, Isao - 2025

Part 1. Importance and Model -- Chapter 1. Financial Market Design and Agent-Based Model -- Chapter 2. Base Model for Financial Market Design -- Part 2. Cases -- Chapter 3. Regulations/Rules -- Chapter 4. AI Traders/High Frequency Trades -- Chapter 5. New Financial Exchanges for High-Speed Era...

Persistent link: https://www.econbiz.de/10015206761

Characteristics of the Polish stock market correlations

Gałązka, Marek - In: International review of financial analysis 20 (2011) 1, pp. 1-5

Persistent link: https://www.econbiz.de/10009295932

Financial stability through the lens of complex systems

Hałaj, Grzegorz; Martinez-Jaramillo, Serafin; … - In: Journal of financial stability 71 (2024), pp. 1-7

Persistent link: https://www.econbiz.de/10014533528

Trend followers, contrarians and fundamentalists : explaining the dynamics of financial markets

Schmitt, Noemi; Westerhoff, Frank H. - 2019

We propose an empirically motivated financial market model in which speculators rely on trend-following, contrarian and fundamental trading rules to determine their orders. Speculators' probabilistic rule-selection behavior - the only type of randomness in our model - depends on past and future...

Persistent link: https://www.econbiz.de/10012014573

Micro-foundation using percolation theory of the finite-time singular behavior of the crash hazard rate in a class of rational expectation bubbles

Seyrich, Maximilian; Sornette, Didier - 2016

crash hazard rate in the Johansen-Ledoit-Sornette model of rational expectation bubbles. The model is based on a percolation … crash. This provides a formula to estimate the crash hazard rate by summation over percolation clusters above a minimum size … of a power $s^a$ (with $a>1$) of the cluster sizes $s$, similarly to a generalized percolation susceptibility.The power …

Persistent link: https://www.econbiz.de/10011514360

Agents' heterogeneity, aggregation, and economic fluctuations

Delli Gatti, Domenico; Gallegati, Mauro; Palestrini, Antonio - In: Interaction and market structure : essays on …, (pp. 133-149). 2000

Persistent link: https://www.econbiz.de/10001487961

Heterogeneity, aggregation and capital market imperfection

Delli Gatti, Domenico; Gallegati, Mauro - In: Cycles, growth and structural change : theories and …, (pp. 229-265). 2001

Persistent link: https://www.econbiz.de/10001614296

Endogenous cycles in competitive models : an overview

Reichlin, Pietro (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 1 (1996) 4, pp. 175-185

Persistent link: https://www.econbiz.de/10001769648

On nonlinear, stochastic dynamics in economic and financial time series

Schittenkopf, Christian (contributor); … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 4 (2000) 3, pp. 101-121

Persistent link: https://www.econbiz.de/10001773121