VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
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Publication:4528083
DOI10.1142/S0219024900000826zbMATH Open0967.91072MaRDI QIDQ4528083FDOQ4528083
Thomas C. H. Lux, Michele Marchesi
Publication date: 2000
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
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Cited In (only showing first 100 items - show all)
- Agent-Based Computational Economics
- Quantile inference for near-integrated autoregressive time series under infinite variance and strong dependence
- Minimal agent based model for financial markets. I
- Maximum likelihood estimation for nearly non‐stationary stable autoregressive processes
- STABILITY ANALYSIS WITH APPLICATIONS OF A TWO-DIMENSIONAL DYNAMICAL SYSTEM ARISING FROM A STOCHASTIC MODEL FOR AN ASSET MARKET
- Econometric analysis of microscopic simulation models
- Boltzmann-type models for price formation in the presence of behavioral aspects
- Random walks, liquidity molasses and critical response in financial markets
- Multiscale sample entropy and cross-sample entropy based on symbolic representation and similarity of stock markets
- APPLICATION OF FLOCKING MECHANISM TO THE MODELING OF STOCHASTIC VOLATILITY
- Fat tails and volatility clustering in experimental asset markets
- An introduction to statistical finance
- QUEUING, SOCIAL INTERACTIONS, AND THE MICROSTRUCTURE OF FINANCIAL MARKETS
- Microscopic models for long ranged volatility correlations
- Complex dynamics associated with the appearance/disappearance of invariant closed curves
- Impact of value-at-risk models on market stability
- Minimal agent based model for financial markets. II
- The role of communication and imitation in limit order markets
- Stylized facts from a threshold-based heterogeneous agent model
- Statistical regularities in the return intervals of volatility
- Evolution of heterogeneous beliefs and asset overvaluation
- Investments in random environments
- Fundamentalists clashing over the book: a study of order-driven stock markets
- INDIVIDUAL EXPECTATIONS AND AGGREGATE BEHAVIOR IN LEARNING-TO-FORECAST EXPERIMENTS
- Complex price dynamics in a financial market with imitation
- Investigations to the dynamics of wealth distribution in a kinetic exchange model
- Target zone interventions and coordination of expectations
- Ising model of financial markets with many assets
- Kinetic models for the trading of goods
- A robust rational route to randomness in a simple asset pricing model
- TECHNICAL ANALYSIS BASED ON PRICE-VOLUME SIGNALS AND THE POWER OF TRADING BREAKS
- Kinetic modeling of alcohol consumption
- Loss aversion in an agent-based asset pricing model
- Crises and collective socio-economic phenomena: simple models and challenges
- Estimation of an agent-based model of investor sentiment formation in financial markets
- HERD BEHAVIOR AND NONFUNDAMENTAL ASSET PRICE FLUCTUATIONS IN FINANCIAL MARKETS
- Financial power laws: empirical evidence, models, and mechanisms
- Animal spirits and monetary policy
- Evolutionary dynamics in markets with many trader types
- Institutional architectures and behavioral ecologies in the dynamics of financial markets
- MONTE CARLO SIMULATION OF VOLATILITY CLUSTERING IN MARKET MODEL WITH HERDING
- Tobin tax and market depth
- Behavioral heterogeneity in the option market
- Heterogeneity of agents, transactions costs and the exchange rate
- Commodity markets, price limiters and speculative price dynamics
- The bounds of heavy-tailed return distributions in evolving complex networks
- Time variation of higher moments in a financial market with heterogeneous agents: an analytical approach
- The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: a behavioral finance approach
- Estimation of agent-based models: The case of an asymmetric herding model
- Power-law behaviour, heterogeneity, and trend chasing
- Wealth distribution and collective knowledge: a Boltzmann approach
- Market-maker, inventory control and foreign exchange dynamics
- Critical market crashes
- Stability, chaos and multiple attractors: a single agent makes a difference
- Title not available (Why is that?)
- Heterogeneous beliefs and the non-linear cobweb model
- Pairs trading with a mean-reverting jump–diffusion model on high-frequency data
- Non‐stationary autoregressive processes with infinite variance
- A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY
- Coexistence of equilibria in a New Keynesian model with heterogeneous beliefs
- Genetic learning as an explanation of stylized facts of foreign exchange markets
- Exchange rate dynamics in a target zone-A heterogeneous expectations approach
- Underreaction to fundamental information and asymmetry in mispricing between bullish and bearish markets. An experimental study
- Human behavior and lognormal distribution. A kinetic description
- Simple agent-based dynamical system models for efficient financial markets: theory and examples
- Kinetic models for goods exchange in a multi-agent market
- Speculative markets and the effectiveness of price limits
- Bridging stylized facts in finance and data non-stationarities
- Financial crises and interacting heterogeneous agents
- GARCH in spinor field
- Price dynamics in an order-driven market with Bayesian learning
- Social climbing and Amoroso distribution
- Weighted fractional permutation entropy and fractional sample entropy for nonlinear Potts financial dynamics
- Correlations and response: absence of detailed balance on the stock market
- Estimating a model of herding behavior on social networks
- Complex system analysis of market return percolation model on Sierpinski carpet lattice fractal
- Linking market interaction intensity of 3D Ising type financial model with market volatility
- Understanding the determinants of volatility clustering in terms of stationary Markovian processes
- A calibration procedure for analyzing stock price dynamics in an agent-based framework
- Permutation entropy analysis of financial time series based on Hill's diversity number
- Between complexity of modelling and modelling of complexity: an essay on econophysics
- NONSTATIONARY LINEAR PROCESSES WITH INFINITE VARIANCE GARCH ERRORS
- Simulation of a financial market: the possibility of catastrophic disequilibrium
- Volatility clustering in agent based market models
- Technical trading and the volatility of exchange rates
- Investor sentiment and trading behavior
- Social contagion and the survival of diverse investment styles
- The closed-form option pricing formulas under the sub-fractional Poisson volatility models
- Trader Behavior and its Effect on Asset Price Dynamics
- Identification of market trends with string and D2-brane maps
- Pricing power exchange options with Hawkes jump diffusion processes
- BUBBLES AND CRASHES: OPTIMISM, TREND EXTRAPOLATION AND PANIC
- Time-varying persistence of inflation: evidence from a wavelet-based approach
- SOME PRICING TOOLS FOR THE VARIANCE GAMMA MODEL
- Direct comparison of agent-based models of herding in financial markets
- Agent-based model calibration using machine learning surrogates
- Cognitive ability and earnings performance: evidence from double auction market experiments
- Prices, debt and market structure in an agent-based model of the financial market
- An evolutionary game theory explanation of ARCH effects
- Strategy switching in the Japanese stock market
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