An agent-based model of stock markets incorporating momentum investors
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Publication:1672973
DOI10.1016/J.PHYSA.2013.02.011zbMATH Open1402.91969OpenAlexW2132189439MaRDI QIDQ1672973FDOQ1672973
Authors: Peng Zhang 
Publication date: 11 September 2018
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.physa.2013.02.011
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Cites Work
- Empirical properties of asset returns: stylized facts and statistical issues
- Institutional Investors and Stock Market Volatility
- HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
- Stylized facts of financial markets and market crashes in Minority Games
- Title not available (Why is that?)
- On the probability distribution of stock returns in the Mike-Farmer model
- Application of multi-agent games to the prediction of financial time series
Cited In (8)
- Price dynamics in an order-driven market with Bayesian learning
- Itchy feet vs cool heads: flow of funds in an agent-based financial market
- A stylized model of ‘Momentum’ processes: a research note
- Loss aversion in an agent-based asset pricing model
- A discussion of Hong-Stein model
- Multi-scale transition matrix approach to time series
- An agent-based approach for time-series momentum and reversal
- Explaining stock return distributions via an agent-based model
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