scientific article; zbMATH DE number 5666937
From MaRDI portal
Publication:3400733
zbMATH Open1184.91166MaRDI QIDQ3400733FDOQ3400733
Authors: Simone Alfarano, Thomas C. H. Lux 
Publication date: 5 February 2010
Title of this publication is not available (Why is that?)
Recommendations
- A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY
- Towards a nonlinear trading strategy for financial time series
- Time series analysis for minority game simulations of financial markets
- A micro-movement model with Bayes estimation via filtering: Application to measuring trading noises and costs
- scientific article; zbMATH DE number 1895649
- A Stochastic Approximation Approach for Trend-Following Trading
- A multiscale model of high-frequency trading
- Time series properties of an artificial stock market
- TRADER DYNAMICS IN A MODEL MARKET
- Modelling and forecasting noisy realized volatility
Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Heterogeneous agent models (91B69)
Cited In (20)
- Effects of technical traders in a synthetic stock market
- Minimal agent based model for financial markets. I
- Do `complex' financial models really lead to complex dynamics? Agent-based models and multifractality
- Monte Carlo simulations of a trader-based market model
- Minimal agent based model for financial markets. II
- Stylized facts from a threshold-based heterogeneous agent model
- Stochastic model of financial markets reproducing scaling and memory in volatility return intervals
- Statistical Mechanics of Conventional Traders May Lead to Non-Conventional Market Behavior
- Evolution and anti-evolution in a minimal stock market model
- From ants to fishing vessels: a simple model for herding and exploitation of finite resources
- Explaining the statistical features of the Spanish stock market from the bottom-up
- Detecting fractal/multifractal and asymmetric properties in an artificial quote-driven financial market
- Time variation of higher moments in a financial market with heterogeneous agents: an analytical approach
- Estimation of agent-based models: The case of an asymmetric herding model
- A generalized ARFIMA model with smooth transition fractional integration parameter
- Dynamics of financial time series in an inhomogeneous aggregation framework
- A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY
- VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
- Empirical validation of stochastic models of interacting agents
- Complexity and the character of stock returns: empirical evidence and a model of asset prices based on complex investor learning
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3400733)
