Large scale simulation of synthetic markets

MaRDI QIDQ3457624zbMATH OpenFDO

Authors Luca Gerardo-Giorda, Guido Germano, Enrico Scalas

Publication date 16 December 2015

zbMATH Keywords

heteroskedasticitylarge scale simulationsynthetic markets

Mathematics Subject Classification ID

Fractional derivatives and integrals (26A33) Sums of independent random variables; random walks (60G50) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

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Cited in

(2)

• Cagan model of inflation with power-law memory effects
• Simulation of a financial market: the possibility of catastrophic disequilibrium

Describes a project that uses

Uses Software

• CUDA

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