Estimation of an agent-based model of investor sentiment formation in financial markets
DOI10.1016/J.JEDC.2012.03.012zbMATH Open1345.91090OpenAlexW1980086539MaRDI QIDQ310977FDOQ310977
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
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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
- Nonlinear scaling analysis approach of agent-based Potts financial dynamical model
- Empirical properties of a heterogeneous agent model in large dimensions
- 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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