Price return autocorrelation and predictability in agent-based models of financial markets
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Publication:3375401
DOI10.1080/14697680500363963zbMath1134.91383arXivcond-mat/0404264OpenAlexW2029023852MaRDI QIDQ3375401
Publication date: 8 March 2006
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/cond-mat/0404264
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Cites Work
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- HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
- Stylized facts of financial markets and market crashes in Minority Games
- Dynamical models of stock market exchanges: From microscopic determinism to macroscopic randomness
- Market mechanism and expectations in minority and majority games
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