MARKET STATISTICS OF A PSYCHOLOGY-BASED HETEROGENEOUS AGENT MODEL
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Publication:3606401
DOI10.1142/S0219024908005019zbMath1185.91190MaRDI QIDQ3606401
Publication date: 26 February 2009
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
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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