MARKET STATISTICS OF A PSYCHOLOGY-BASED HETEROGENEOUS AGENT MODEL

DOI10.1142/S0219024908005019zbMath1185.91190MaRDI QIDQ3606401

T. Seaman, Harbir Lamba

Publication date: 26 February 2009

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

thresholdsheterogeneous agentsstylized facts

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Auctions, bargaining, bidding and selling, and other market models (91B26) Heterogeneous agent models (91B69)

Related Items (3)

Hopf bifurcation in symmetric networks of coupled oscillators with hysteresis ⋮ A meeting point of entropy and bifurcations in cross-diffusion herding ⋮ Dynamics of Discrete Time Systems with a Hysteresis Stop Operator

Cites Work

• From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
• Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents
• Volatility cluster and herding
• Volatility clustering in agent based market models
• Scaling behaviors in differently developed markets
• Prospect Theory and Asset Prices
• MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS

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