Heavy-tailed distributions of volume and price-change resulting from strategy coordination and decision noise

DOI10.1016/J.PHYSA.2022.128211MaRDI QIDQ2096784zbMATH OpenOpenAlexWikidataFDO

Authors Michael J. Campbell

Publication date 11 November 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2022.128211

zbMATH Keywords

agent based modelbounded rationalitycollusionhot handpotential gamepower law

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites work

• A Note on the Convolution of the Uniform and Related Distributions and Their Use in Quality Control
• An elementary humanomics approach to boundedly rational quadratic models
• Characterization of stationary distributions of reflected diffusions
• Entropy dissipation methods for degenerate parabolic problems and generalized Sobolev inequalities
• From the Luce choice axiom to the quantal response equilibrium
• scientific article; zbMATH DE number 850352 (Why is no real title available?)
• Lyapunov functions for semimartingale reflecting Brownian motions
• Muddling through: Noisy equilibrium selection
• Multidimensional reflected Brownian motions having exponential stationary distributions
• Potential games
• Refinements of Nash equilibrium in potential games
• Speculative and hedging interaction model in oil and U.S. dollar markets -- long-term investor dynamics and phases
• Speculative and hedging interaction model in oil and U.S. dollar markets -- phase transition
• The stable manifold theorem for non-linear stochastic systems with memory. I: Existence of the semiflow.

Cited in

(1)

• Strategic Behaviour and Indicative Price Diffusion in Paris Stock Exchange Auctions

This page was built for publication: Heavy-tailed distributions of volume and price-change resulting from strategy coordination and decision noise

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2096784)