Complexity and the Character of Stock Returns: Empirical Evidence and a Model of Asset Prices Based on Complex Investor Learning

DOI10.1287/mnsc.1060.0622zbMath1232.91721MaRDI QIDQ3116129

S. C. Linn, Nicholas S. P. Tay

Publication date: 21 February 2012

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/0886528c21f73a38a5e82162bd100213ab451402

zbMATH Keywords

nonlinear dependence; power-law; artificial stock market; return distribution; learning stock

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

91B84: Economic time series analysis

68T05: Learning and adaptive systems in artificial intelligence

Related Items

The impacts of interest rates on banks' loan portfolio risk-taking