Complexity and the character of stock returns: empirical evidence and a model of asset prices based on complex investor learning

DOI10.1287/MNSC.1060.0622MaRDI QIDQ3116129zbMATH OpenOpenAlexFDO

Authors 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 dependencepower-lawartificial stock marketreturn distributionlearning stock

Mathematics Subject Classification ID

Learning and adaptive systems in artificial intelligence (68T05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

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Cited in

(17)

• The impacts of interest rates on banks' loan portfolio risk-taking
• Models of asset returns: changes of pattern from high to low event frequency
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• Fuzzy inductive reasoning, expectation formation and the behavior of security prices
• On the principle of increasing complexity in portfolio formation on the stock exchange
• Financial market dynamics: superdiffusive or not?
• The origin of fat-tailed distributions in financial time series
• Processes for stocks capturing their statistical properties from one day to one year
• ASYMMETRY OF RETURNS IN THE AUSTRALIAN STOCK MARKET
• Self-similarity in long-horizon returns
• Power-law behaviour, heterogeneity, and trend chasing
• Fractality of profit landscapes and validation of time series models for stock prices
• A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY
• WHAT CAUSES PERSISTENCE OF STOCK RETURN VOLATILITY? ONE POSSIBLE EXPLANATION WITH AN ARTIFICIAL STOCK MARKET
• Empirical distributions of stock returns: between the stretched exponential and the power law?
• Explaining stock return distributions via an agent-based model

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