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Modeling and simulation of an artificial stock option market

Ecca, Sabrina; Marchesi, Michele; Setzu, Alessio - In: Computational economics 32 (2008) 1/2, pp. 37-53

Persistent link: https://www.econbiz.de/10003755537

The interplay between two stock markets and a related foreign exchange market : a simulation approach

Corona, Erika; Ecca, Sabrina; Marchesi, Michele; Setzu, … - In: Computational economics 32 (2008) 1/2, pp. 99-119

Persistent link: https://www.econbiz.de/10003755569

Studies on the impact of the option market on the underlying stock market

Ecca, Sabrina; Locci, Mario; Marchesi, Michele - In: Artificial markets modeling : methods and applications, (pp. 127-139). 2007

Persistent link: https://www.econbiz.de/10003854792

Using an artificial financial market for assessing the impact of Tobin-like transaction taxes

Mannaro, Katiuscia; Marchesi, Michele; Setzu, Alessio - In: Journal of economic behavior & organization : JEBO 67 (2008) 2, pp. 445-462

Persistent link: https://www.econbiz.de/10003746630

Testing for non-linear structure in an artificial financial market

Chen, Shu-Heng; Lux, Thomas; Marchesi, Michele - In: Journal of economic behavior & organization : JEBO 46 (2001) 3, pp. 327-342

Persistent link: https://www.econbiz.de/10001649219

Volatility clustering in financial markets : a microsimulation of interacting agents

Lux, Thomas; Marchesi, Michele - In: International journal of theoretical and applied finance 3 (2000) 4, pp. 675-702

Persistent link: https://www.econbiz.de/10001526862

Scaling and criticality in a stochastic multi-agent model of a financial market

Lux, Thomas; Marchesi, Michele - 1998

Persistent link: https://www.econbiz.de/10001372561

Volatility clustering in financial markets : a micro-simulation of interacting agents

Lux, Thomas; Marchesi, Michele - 1998

Persistent link: https://www.econbiz.de/10001372570

Testing for non-linear structure in an artificial financial market

Chen, Shu-Heng; Lux, Thomas; Marchesi, Michele - 1999

Persistent link: https://www.econbiz.de/10001372680

Testing for Non-Linear Structure in an Artificial Financial Market

Chen, Shu-Heng - 1999

We present a stochastic simulation model of a prototype financial market. Our market is populated by both noise traders and fundamentalist speculators. The dynamics covers switches in the prevailing mood among noise traders (optimistic or pessimistic)as well as switches of agents between the...

Persistent link: https://www.econbiz.de/10012789588

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