Agent-based computational finance: Suggested readings and early research
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Publication:1978584
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Cites work
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- A microscopic model of the stock market: cycles, booms, and crashes
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- Heterogeneous beliefs, wealth accumulation, and asset price dynamics
- Learning, estimation, and the stability of rational expectations
- On the unstable behaviour of stock exchanges
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Cited in
(87)- Non-linear, hybrid exchange rate modeling and trading profitability in the foreign exchange market
- Heterogeneity, convergence, and autocorrelations
- Linear learning in changing environments
- Staggered updating in an artificial financial market
- Econometric analysis of microscopic simulation models
- Understanding flash crash contagion and systemic risk: a micro-macro agent-based approach
- Who’s Smart and Who’s Lucky? Inferring Trading Strategy, Learning and Adaptation in Financial Markets through Data Mining
- Forecasting financial time series with Boltzmann entropy through neural networks
- Modifying a simple agent-based model to disentangle the microstructure of Chinese and US stock markets
- Natural Computing in Computational Finance (Volume 2): Introduction
- Fuzzy inductive reasoning, expectation formation and the behavior of security prices
- Trends in agent-based computational modeling of macroeconomics
- Investments in random environments
- Quantifying the concerns of Dimon and Buffett with data and computation
- Trading strategies, feedback control and market dynamics
- On the specification of noise in two agent-based asset pricing models
- Between complexity of modelling and modelling of complexity: an essay on econophysics
- Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model
- Varieties of agents in agent-based computational economics: a historical and an interdisciplinary perspective
- Self-organized criticality in a dynamic game
- Integrating real and financial markets in an agent-based economic model: An application to monetary policy design
- Evolution and market behavior with endogenous investment rules
- Order aggressiveness, pre-trade transparency, and long memory in an order-driven market
- Social contagion and the survival of diverse investment styles
- A robust rational route to randomness in a simple asset pricing model
- A decision-theoretic model of asset-price underreaction and overreaction to dividend news
- Heterogeneous information-based artificial stock market
- Trader Behavior and its Effect on Asset Price Dynamics
- Heuristic optimisation in financial modelling
- Is more memory in evolutionary selection (de)stabilizing?
- Agent-based computational economics
- Examining the effectiveness of price limits in an artificial stock market
- Nonlinear expectations in speculative markets -- evidence from the ECB Survey of Professional Forecasters
- EDUCATION, NEIGHBORHOOD EFFECTS AND GROWTH: AN AGENT-BASED MODEL APPROACH
- HERD BEHAVIOR AND NONFUNDAMENTAL ASSET PRICE FLUCTUATIONS IN FINANCIAL MARKETS
- Network evolution based on minority game with herding behavior
- Evolutionary dynamics in markets with many trader types
- Institutional architectures and behavioral ecologies in the dynamics of financial markets
- Behavioral heterogeneity in the option market
- An analysis of the effect of noise in a heterogeneous agent financial market model
- The heterogeneous expectations hypothesis: Some evidence from the lab
- Asset price and wealth dynamics in a financial market with heterogeneous agents
- Can genetic algorithms explain experimental anomalies?
- More hedging instruments may destabilize markets
- Information-based multi-assets artificial stock market with heterogeneous agents
- A financial CCAPM and economic inequalities
- An evolutionary game theory explanation of ARCH effects
- The emergence of Zipf's law in a system of cities: an agent-based simulation approach
- The rise and fall of catastrophe theory applications in economics: was the baby thrown out with the bathwater?
- Informational differences and learning in an asset market with boundedly rational agents
- Time series properties of an artificial stock market
- Designing sniping agents
- Stochastic equilibria of an asset pricing model with heterogeneous beliefs and random dividends
- Asset pricing with flexible beliefs
- A global optimization heuristic for estimating agent based models
- Herding, a-synchronous updating and heterogeneity in memory in a CBS
- A dynamic analysis of moving average rules
- Equilibria, stability and asymptotic dominance in a speculative market with heterogeneous traders
- A simple asset pricing model with social interactions and heterogeneous beliefs
- Estimation of agent-based models: The case of an asymmetric herding model
- A NONLINEAR SUPER-EXPONENTIAL RATIONAL MODEL OF SPECULATIVE FINANCIAL BUBBLES
- Power-law behaviour, heterogeneity, and trend chasing
- The impact of short-selling constraints on financial market stability in a heterogeneous agents model
- Agent-based simulation of a financial market
- Evolving traders and the business school with genetic programming: A new architecture of the agent-based artificial stock market
- Multiagent systems for modeling the information game in a financial market
- MARKET FLUCTUATIONS EXPLAINED BY DIVIDENDS AND INVESTOR NETWORKS
- Heterogeneous speculators, endogenous fluctuations and interacting markets: a model of stock prices and exchange rates
- Can a stochastic cusp catastrophe model explain stock market crashes?
- Swarm Economics
- ADAPTIVE INVESTMENT STRATEGIES FOR PERIODIC ENVIRONMENTS
- Why technical trading may be successful? A lesson from the agent-based modeling
- Stylized facts study through a multi-agent based simulation of an artificial stock market
- EURACE: A massively parallel agent-based model of the European economy
- INNOVATION AND SELF-ORGANIZATION IN A MULTI-AGENT MODEL
- A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY
- Asset prices, traders' behavior and market design
- Exchange rate dynamics in a target zone-A heterogeneous expectations approach
- Learning in a credit economy
- Static and dynamic factors in an information-based multi-asset artificial stock market
- Heterogeneous expectations and long-range correlation of the volatility of asset returns
- Simple agent-based dynamical system models for efficient financial markets: theory and examples
- Price bubbles sans dividend anchors: evidence from laboratory stock markets
- Using multi-agent simulation to understand trading dynamics of a derivatives market
- Bubbles and crashes: gradient dynamics in financial markets
- Financial crises and interacting heterogeneous agents
- MULTI-AGENT MARKET MODELING OF FOREIGN EXCHANGE RATES
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