On the specification of noise in two agent-based asset pricing models

DOI10.1016/J.JEDC.2010.02.002zbMath1230.91057OpenAlexW1977967613MaRDI QIDQ976529

Reiner Franke

Publication date: 11 June 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2010.02.002

zbMATH Keywords

heterogeneous agentsvolatility clusteringautocorrelations of returnsstructural stochastic volatility

Mathematics Subject Classification ID

Heterogeneous agent models (91B69)

Related Items (5)

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Cites Work

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• Speculative markets and the effectiveness of price limits
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• Power-law behaviour, heterogeneity, and trend chasing
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Modeling exchange rate behavior with a genetic algorithm
• Agent-based computational finance: Suggested readings and early research

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