Estimation of an agent-based model of investor sentiment formation in financial markets

DOI10.1016/J.JEDC.2012.03.012MaRDI QIDQ310977zbMATH OpenOpenAlexFDO

Authors Thomas C. H. Lux

Publication date 28 September 2016

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2012.03.012

zbMATH Keywords

opinion formationsocial interactioninvestor sentiment

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80)

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Cited in

(15)

• Mutual relevance of investor sentiment and finance by modeling coupled stochastic systems with MARS
• Estimating a model of herding behavior on social networks
• Stochastic model of financial markets reproducing scaling and memory in volatility return intervals
• Investor sentiment and trading behavior
• Empirical properties of a heterogeneous agent model in large dimensions
• Nonlinear scaling analysis approach of agent-based Potts financial dynamical model
• Multiscale multifractal DCCA and complexity behaviors of return intervals for Potts price model
• Phase and multifractality analyses of random price time series by finite-range interacting biased voter system
• A method for agent-based models validation
• Inference for systems of stochastic differential equations from discretely sampled data: a numerical maximum likelihood approach
• Sentiment contagion analysis of interacting investors: evidence from China's stock forum
• Behavioral heterogeneity and financial crisis: the role of sentiment
• A model of regret, investor behavior, and market turbulence
• An agent-based model of stock markets incorporating momentum investors
• Distributed investment decisions and forecasting errors: an analysis based on a multi-agent simulation model

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