scientific article; zbMATH DE number 5666937

MaRDI QIDQ3400733zbMATH OpenFDO

Authors Simone Alfarano, Thomas C. H. Lux

Publication date 5 February 2010

zbMATH Keywords

statistical mechanicsfinancial marketheterogeneous interacting agentsherding mechanism

Mathematics Subject Classification ID

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)

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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
• Time variation of higher moments in a financial market with heterogeneous agents: an analytical approach
• Detecting fractal/multifractal and asymmetric properties in an artificial quote-driven financial market
• 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

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