MARKET STATISTICS OF A PSYCHOLOGY-BASED HETEROGENEOUS AGENT MODEL
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Publication:3606401
DOI10.1142/S0219024908005019zbMATH Open1185.91190MaRDI QIDQ3606401FDOQ3606401
Authors: Harbir Lamba, T. Seaman 
Publication date: 26 February 2009
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
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Statistical methods; risk measures (91G70) Auctions, bargaining, bidding and selling, and other market models (91B26) Heterogeneous agent models (91B69)
Cites Work
- VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
- Prospect theory and asset prices
- MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH
- From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
- Scaling behaviors in differently developed 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
Cited In (6)
- A meeting point of entropy and bifurcations in cross-diffusion herding
- Hopf bifurcation in symmetric networks of coupled oscillators with hysteresis
- Theory of agent-based market models with controlled levels of greed and anxiety
- Explaining the statistical features of the Spanish stock market from the bottom-up
- Dynamics of discrete time systems with a hysteresis stop operator
- Title not available (Why is that?)
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