Reaction to Extreme Events in a Minimal Agent Based Model

DOI10.1007/978-88-470-2553-0_9zbMath1397.91613OpenAlexW197063083MaRDI QIDQ4687377

A. Zaccaria, M. Cristelli, Luciano Pietronero

Publication date: 11 October 2018

Published in: Econophysics of Systemic Risk and Network Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-88-470-2553-0_9

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Financial applications of other theories (91G80)

Related Items (1)

Quadratic Hawkes processes for financial prices

Cites Work

• Handbook of computational economics. Vol. 2: Agent-based computational economics
• Minimal agent based model for financial markets. I
• Minimal agent based model for financial markets. II
• Price drops, fluctuations, and correlation in a multi-agent model of stock markets
• Statistical mechanics of socio-economic systems with heterogeneous agents
• Short-term market reaction after extreme price changes of liquid stocks
• Theory of Financial Risk and Derivative Pricing
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
• Empirical properties of asset returns: stylized facts and statistical issues
• Switching processes in financial markets
• Introduction to Econophysics

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