Heterogeneous round-trip trading and the emergence of volatility clustering in speculation game

DOI10.1007/s11424-021-0147-8zbMath1485.91222OpenAlexW3176140838MaRDI QIDQ2121201

Kei Katahira, Yu Chen

Publication date: 1 April 2022

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-021-0147-8

zbMATH Keywords

wealth distributionheterogeneityPareto's lawfinancial stylized factsround-trip trading

Mathematics Subject Classification ID

Applications of game theory (91A80) Multistage and repeated games (91A20) Financial markets (91G15)

Uses Software

• poweRlaw
• plfit

Cites Work

• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Inter-pattern speculation: beyond minority, majority and \$-games
• Self-organizing Ising model of financial markets
• Generalized autoregressive conditional heteroscedasticity
• Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents
• Development of an agent-based speculation game for higher reproducibility of financial stylized facts
• Essentials of Econophysics Modelling
• Power-Law Distributions in Empirical Data
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• From Minority Games to real markets
• On a universal mechanism for long-range volatility correlations
• Empirical properties of asset returns: stylized facts and statistical issues
• Realistic Statistical Modelling of Financial Data
• Stylized facts of financial markets and market crashes in Minority Games
• Minority games and stylized facts
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