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Managerial overconfidence in initial public offering decisions and its impact on macrodynamics and financial stability : analysis using an agent-based model

Rzeszutek, Marcin; Godin, Antoine; Szyszka, Adam; … - In: Journal of economic dynamics & control 118 (2020), pp. 1-19

Persistent link: https://www.econbiz.de/10012503406

Asset return predictability in a heterogeneous agent equilibrium model

Carlson, Murray; Chapman, David A.; Kaniel, Ron; Yan, Hong - In: The quarterly journal of finance 5 (2015) 2, pp. 1-45

Persistent link: https://www.econbiz.de/10011300998

Asset return predictability in a heterogeneous agent equilibrium model

Carlson, Murray; Chapman, David A.; Kaniel, Ron; Yan, Hong - 2015

Persistent link: https://www.econbiz.de/10010482998

Inferring trader's behavior from prices

Charbonneau, Louis; Kharma, Nawwaf - In: Natural computing in computational finance : volume 3 ; …, (pp. 85-105). 2010

Persistent link: https://www.econbiz.de/10009514542

Return predictability and the "wisdom of crowds" : genetic Programming trading algorithms, the Marginal Trader Hypothesis and the Hayek Hypothesis

Manahov, Viktor; Hudson, Robert; Hoque, Hafiz - In: Journal of international financial markets, … 37 (2015), pp. 85-98

Persistent link: https://www.econbiz.de/10011475040

Fundamentals unknown : momentum, mean-reversion and price-to-earnings trading in an artificial stock market

Schasfoort, Joeri; Stockermans, Christopher - 2017

The use of fundamentalist traders in the stock market models is problematic since fundamental values in the real world are unknown. Yet, in the literature to date, fundamentalists are often required to replicate key stylized facts. The authors present an agent-based model of the stock market in...

Persistent link: https://www.econbiz.de/10011723700

Using realistic trading strategies in an agent-based stock market model

Llacay, Bàrbara; Peffer, Gilbert - In: Computational and mathematical organization theory 24 (2018) 3, pp. 308-350

Persistent link: https://www.econbiz.de/10011885546

Modeling the market dynamics from a behavioral perspective

Raki, Moloud; Mehrara, Mohsen - In: Iranian economic review : journal of University of Tehran 25 (2021) 1, pp. 21-31

Persistent link: https://www.econbiz.de/10012591507

A calibration procedure for analyzing stock price dynamics in an agent-based framework

Recchioni, Maria Cristina; Tedeschi, Gabriele; … - 2014

In this paper we introduce a calibration procedure for validating of agent based models. Starting from the well …-known financial model of Brock and Hommes 1998, we show how an appropriate calibration enables the model to describe price time series …. We formulate the calibration problem as a nonlinear constrained optimization that can be solved numerically via a …

Persistent link: https://www.econbiz.de/10010463489

A calibration procedure for analyzing stock price dynamics in an agent-based framework

Recchioni, Maria Cristina; Tedeschi, Gabriele; … - In: Journal of economic dynamics & control 60 (2015), pp. 1-25

Persistent link: https://www.econbiz.de/10011575069

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