Heterogeneous information-based artificial stock market

DOI10.1088/1367-2630/12/5/053035MaRDI QIDQ4594872zbMATHOpenAlexFDO

Authors Silvano Cincotti, Stefano Pastore, Linda Ponta

Publication date 27 November 2017

Published in New Journal of Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1088/1367-2630/12/5/053035

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Actuarial science and mathematical finance (91G99) Heterogeneous agent models (91B69)

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Cites work

• scientific article; zbMATH DE number 1091847 (Why is no real title available?)
• A simulation analysis of the microstructure of double auction markets
• Agent-based computational finance: Suggested readings and early research
• Agent-based simulation of a financial market
• Artificial economic life: A simple model of a stockmarket
• Cross-correlations between volume change and price change
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• Handbook of computational economics. Vol. 2: Agent-based computational economics
• Nonclassical demand a model-free examination of price-quantity relations in the Marseille fish market
• On financial markets trading
• The Economics of Rumours
• Time series properties of an artificial stock market
• Traders' long-run wealth in an artificial financial market
• Who wins? Study of long-run trader survival in an artificial stock market

Cited in

(9)

• Multiagent systems for modeling the information game in a financial market
• Information-based multi-assets artificial stock market with heterogeneous agents
• Connectivity, information jumps, and market stability: an agent-based approach
• Static and dynamic factors in an information-based multi-asset artificial stock market
• Multi-scale transition matrix approach to time series
• Effects of common factors on dynamics of stocks traded by investors with limited information capacity
• Effects of fundamentals acquisition and strategy switch on stock price dynamics
• Traders' networks of interactions and structural properties of financial markets: an agent-based approach
• Information driving force and its application in agent-based modeling

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