Development of an agent-based speculation game for higher reproducibility of financial stylized facts

DOI10.1016/J.PHYSA.2019.04.157MaRDI QIDQ2159122zbMATH OpenOpenAlexFDO

Authors Kei Katahira, Yu Chen, Gaku Hashimoto, H. Okuda

Publication date 26 July 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1902.02040

zbMATH Keywords

econophysicsmulti-agent simulationcognitive modelfinancial stylized factsround-trip trading

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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Cites work

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• Realistic Statistical Modelling of Financial Data
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• Synchronization model for stock market asymmetry
• Time series properties of an artificial stock market
• Traders' long-run wealth in an artificial financial market

Cited in

(2)

• Heterogeneous round-trip trading and the emergence of volatility clustering in speculation game
• An Extended Speculation Game for the Recovery of Hurst Exponent of Financial Time Series

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