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

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

A growing body of recent literature allows for heterogenous trading strategies and limited rationality of agents in behavioral models of financial markets. More and more, this literature has been concerned with the explanation of some of the stylized facts of financial markets. It now seems that...

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

Heterogeneous agents in multi-markets : a coupled map lattices approach

Huang, Weihong; Chen, Zhenxi - 2012

Persistent link: https://www.econbiz.de/10009699400

Agent-based risk management : a regulatory approach to financial markets

Theobald, Thomas - 2012

-cyclicality. This in turn could reduce the extent to which (irrational) bubbles arise since market participants would have to anticipate … comprehensively the costs of such bubbles bursting. Furthermore a key ratio is deduced from the agent-based construction to lower the …

Persistent link: https://www.econbiz.de/10009616510

Fundamental traders' "tragedy of the commons" : information costs and other determinants for the survival of experts and noise traders in financial markets

Witte, Björn-Christopher - In: Economic modelling 32 (2013), pp. 377-385

Persistent link: https://www.econbiz.de/10009762147

Who wins: Yoda or Sith? : a proof that financial markets are seldom efficient

Stanciu-Viziteu, Lucian Daniel - In: Artificial economics and self organization : …, (pp. 95-106). 2014

Persistent link: https://www.econbiz.de/10009792425

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