Volatility clustering in agent based market models
From MaRDI portal
Publication:1873924
DOI10.1016/S0378-4371(02)01901-5zbMath1057.91027arXivcond-mat/0206222OpenAlexW1970045550WikidataQ61033391 ScholiaQ61033391MaRDI QIDQ1873924
Jean-Philippe Bouchaud, Irene Giardina
Publication date: 21 May 2003
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/cond-mat/0206222
Microeconomic theory (price theory and economic markets) (91B24) Auctions, bargaining, bidding and selling, and other market models (91B26)
Related Items
The extraction of macromodel and origin of long-ranged correlations ⋮ MICROSCOPIC SPIN MODEL FOR THE STOCK MARKET WITH ATTRACTOR BUBBLING ON REGULAR AND SMALL-WORLD LATTICES ⋮ MICROSCOPIC SPIN MODEL FOR THE STOCK MARKET WITH ATTRACTOR BUBBLING AND HETEROGENEOUS AGENTS ⋮ MARKET STATISTICS OF A PSYCHOLOGY-BASED HETEROGENEOUS AGENT MODEL
Cites Work
- From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
- Long-Term Memory in Stock Market Prices
- PHYSICISTS ATTEMPT TO SCALE THE IVORY TOWERS OF FINANCE
- TRADER DYNAMICS IN A MODEL MARKET
- VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
- Financial markets as nonlinear adaptive evolutionary systems
- From Minority Games to real markets
- On a universal mechanism for long-range volatility correlations
- Asset price and wealth dynamics under heterogeneous expectations
- Market mechanism and expectations in minority and majority games
