Linking agent-based models and stochastic models of financial markets
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Cites work
- A simple general approach to inference about the tail of a distribution
- Asset price bubbles and crashes with near-zero-intelligence traders
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Cross-correlations between volume change and price change
- Does observation of others affect learning in strategic environments? An experimental study
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Generalized autoregressive conditional heteroscedasticity
- Genetic learning as an explanation of stylized facts of foreign exchange markets
- Price fluctuations from the order book perspective - empirical facts and a simple model
- Switching rates and the asymptotic behavior of herding models
- Time variation of higher moments in a financial market with heterogeneous agents: an analytical approach
Cited in
(31)- Estimation of agent-based models: The case of an asymmetric herding model
- Linking market interaction intensity of 3D Ising type financial model with market volatility
- Stochastic model of financial markets reproducing scaling and memory in volatility return intervals
- Equation-free analysis of agent-based models and systematic parameter determination
- Between complexity of modelling and modelling of complexity: an essay on econophysics
- Control of the socio-economic systems using herding interactions
- The extraction of macromodel and origin of long-ranged correlations
- Public cooperation in two-layer networks with asymmetric interaction and learning environments
- Forecasting price of financial market crash via a new nonlinear potential GARCH model
- Dynamic risk resonance between crude oil and stock market by econophysics and machine learning
- Black swans, extreme risks, and the e-pile model of self-organized criticality
- Stability of financial market driven by information delay and liquidity in delay agent-based model
- Nonlinear stochastic exclusion financial dynamics modeling and time-dependent intrinsic detrended cross-correlation
- Information driving force and its application in agent-based modeling
- Volatility aggregation intensity energy futures series on stochastic finite-range exclusion dynamics
- Development of an agent-based speculation game for higher reproducibility of financial stylized facts
- Multiscale statistical behaviors for Ising financial dynamics with continuum percolation jump
- Fluctuation entropy and complexity of financial percolation model with random jump on gasket fractal lattice
- On the probabilistic approach to heterogeneous structure interactions in agent-based computational models
- Dynamic forecasting performance and liquidity evaluation of financial market by econophysics and Bayesian methods
- A simple agent-based financial market model: Direct interactions and comparisons of trading profits
- An agent-based model of corporate bond trading
- Agent-based modelling in directional-change intrinsic time
- Loss aversion in an agent-based asset pricing model
- scientific article; zbMATH DE number 5165625 (Why is no real title available?)
- A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY
- A novel agent model of heterogeneous risk based on temporal interaction network for stock price simulation
- Explaining stock return distributions via an agent-based model
- Balanced dynamics in strongly coupled networks
- Dynamic order dispersion and volatility persistence in a simple limit order book model
- On the specification of noise in two agent-based asset pricing models
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