VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
From MaRDI portal
Publication:4528083
DOI10.1142/S0219024900000826zbMath0967.91072MaRDI QIDQ4528083
Michele Marchesi, Thomas C. H. Lux
Publication date: 2000
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Related Items (only showing first 100 items - show all)
INDIVIDUAL EXPECTATIONS AND AGGREGATE BEHAVIOR IN LEARNING-TO-FORECAST EXPERIMENTS ⋮ Social contagion and the survival of diverse investment styles ⋮ Finding our way in the dark: approximate MCMC for approximate Bayesian methods ⋮ Bridging stylized facts in finance and data non-stationarities ⋮ BUBBLES AND CRASHES: OPTIMISM, TREND EXTRAPOLATION AND PANIC ⋮ Tobin tax and market depth ⋮ Maximum likelihood estimation for nearly non‐stationary stable autoregressive processes ⋮ Non‐stationary autoregressive processes with infinite variance ⋮ Microscopic models for long ranged volatility correlations ⋮ A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY ⋮ THE WORKING OF CIRCUIT BREAKERS WITHIN PERCOLATION MODELS FOR FINANCIAL MARKETS ⋮ Random walks, liquidity molasses and critical response in financial markets ⋮ Volatility clustering in agent based market models ⋮ Correlations and response: absence of detailed balance on the stock market ⋮ Linking market interaction intensity of 3D Ising type financial model with market volatility ⋮ Ising model of financial markets with many assets ⋮ TECHNICAL ANALYSIS BASED ON PRICE-VOLUME SIGNALS AND THE POWER OF TRADING BREAKS ⋮ The closed-form option pricing formulas under the sub-fractional Poisson volatility models ⋮ Estimation of an agent-based model of investor sentiment formation in financial markets ⋮ Time variation of higher moments in a financial market with heterogeneous agents: an analytical approach ⋮ Evolution of heterogeneous beliefs and asset overvaluation ⋮ APPLICATION OF FLOCKING MECHANISM TO THE MODELING OF STOCHASTIC VOLATILITY ⋮ Identification of market trends with string and D2-brane maps ⋮ Target zone interventions and coordination of expectations ⋮ Kinetic models for goods exchange in a multi-agent market ⋮ Impact of value-at-risk models on market stability ⋮ Direct comparison of agent-based models of herding in financial markets ⋮ Agent-based model calibration using machine learning surrogates ⋮ Cognitive ability and earnings performance: evidence from double auction market experiments ⋮ A calibration procedure for analyzing stock price dynamics in an agent-based framework ⋮ A new \& simple model of currency crisis: bifurcations and the emergence of a bad equilibrium ⋮ MARKET DEPTH AND PRICE DYNAMICS: A NOTE ⋮ Estimating a model of herding behavior on social networks ⋮ Investments in random environments ⋮ Between complexity of modelling and modelling of complexity: an essay on econophysics ⋮ Weighted fractional permutation entropy and fractional sample entropy for nonlinear Potts financial dynamics ⋮ Behavioral heterogeneity in the option market ⋮ QUEUING, SOCIAL INTERACTIONS, AND THE MICROSTRUCTURE OF FINANCIAL MARKETS ⋮ Wealth distribution and collective knowledge: a Boltzmann approach ⋮ Business fluctuations in a behavioral switching model: gridlock effects and credit crunch phenomena in financial networks ⋮ A generalized ARFIMA model with smooth transition fractional integration parameter ⋮ Modified generalized sample entropy and surrogate data analysis for stock markets ⋮ Time-varying persistence of inflation: evidence from a wavelet-based approach ⋮ Multiscale sample entropy and cross-sample entropy based on symbolic representation and similarity of stock markets ⋮ Loss aversion in an agent-based asset pricing model ⋮ Technical trading and the volatility of exchange rates ⋮ Kinetic models for the trading of goods ⋮ Crises and collective socio-economic phenomena: simple models and challenges ⋮ Simulation of a financial market: the possibility of catastrophic disequilibrium ⋮ Fundamentalists, chartists and asset pricing anomalies ⋮ Pairs trading with a mean-reverting jump–diffusion model on high-frequency data ⋮ Price dynamics in an order-driven market with Bayesian learning ⋮ The bounds of heavy-tailed return distributions in evolving complex networks ⋮ Investor sentiment and trading behavior ⋮ Heterogeneous beliefs and the non-linear cobweb model ⋮ SOME PRICING TOOLS FOR THE VARIANCE GAMMA MODEL ⋮ Agent-Based Computational Economics ⋮ Complex price dynamics in a financial market with imitation ⋮ Coexistence of equilibria in a New Keynesian model with heterogeneous beliefs ⋮ Financial power laws: empirical evidence, models, and mechanisms ⋮ Investigations to the dynamics of wealth distribution in a kinetic exchange model ⋮ Stability, chaos and multiple attractors: a single agent makes a difference ⋮ Speculative markets and the effectiveness of price limits ⋮ Market-maker, inventory control and foreign exchange dynamics ⋮ Fundamentalists clashing over the book: a study of order-driven stock markets ⋮ Heterogeneity of agents, transactions costs and the exchange rate ⋮ A robust rational route to randomness in a simple asset pricing model ⋮ Simple agent-based dynamical system models for efficient financial markets: theory and examples ⋮ Prices, debt and market structure in an agent-based model of the financial market ⋮ Multi-agent-based VaR forecasting ⋮ Strategy switching in the Japanese stock market ⋮ Commodity markets, price limiters and speculative price dynamics ⋮ The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: a behavioral finance approach ⋮ Animal spirits and monetary policy ⋮ An introduction to statistical finance ⋮ Permutation entropy analysis of financial time series based on Hill's diversity number ⋮ Complex dynamics associated with the appearance/disappearance of invariant closed curves ⋮ Financial crises and interacting heterogeneous agents ⋮ Evolutionary dynamics in markets with many trader types ⋮ Genetic learning as an explanation of stylized facts of foreign exchange markets ⋮ Institutional architectures and behavioral ecologies in the dynamics of financial markets ⋮ The role of communication and imitation in limit order markets ⋮ Minimal agent based model for financial markets. I ⋮ Minimal agent based model for financial markets. II ⋮ Stylized facts from a threshold-based heterogeneous agent model ⋮ Statistical regularities in the return intervals of volatility ⋮ Exchange rate dynamics in a target zone-A heterogeneous expectations approach ⋮ Underreaction to fundamental information and asymmetry in mispricing between bullish and bearish markets. An experimental study ⋮ Reaction to Extreme Events in a Minimal Agent Based Model ⋮ MARKET STATISTICS OF A PSYCHOLOGY-BASED HETEROGENEOUS AGENT MODEL ⋮ Pricing power exchange options with Hawkes jump diffusion processes ⋮ Kinetic modeling of alcohol consumption ⋮ Econometric analysis of microscopic simulation models ⋮ Call center service times are lognormal: A Fokker–Planck description ⋮ Fat tails and volatility clustering in experimental asset markets ⋮ Social climbing and Amoroso distribution ⋮ Human behavior and lognormal distribution. A kinetic description ⋮ Estimation of agent-based models: The case of an asymmetric herding model ⋮ Nonlinear Complexity and Chaotic Behaviors on Finite-Range Stochastic Epidemic Financial Dynamics ⋮ STABILITY ANALYSIS WITH APPLICATIONS OF A TWO-DIMENSIONAL DYNAMICAL SYSTEM ARISING FROM A STOCHASTIC MODEL FOR AN ASSET MARKET
Cites Work
- Stability with regime switching
- From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
- Time variation of second moments from a noise trader/infection model
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- A Rational Route to Randomness
- The Economics of Rumours
This page was built for publication: VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
