Simple agent-based dynamical system models for efficient financial markets: theory and examples

DOI10.1016/J.JMATECO.2016.12.005zbMATH Open1395.91229OpenAlexW2568829244MaRDI QIDQ516053FDOQ516053

Authors: Eero Immonen 

Publication date: 20 March 2017

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmateco.2016.12.005

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zbMATH Keywords

feedbackefficient market hypothesislinear dynamical systemadaptive market hypothesisminimal agent-based models

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Cites Work

• Stability in linear delay equations
• The internal model principle of control theory
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• Handbook of computational economics. Vol. 2: Agent-based computational economics
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
• Solvability of static output-feedback stabilization for LTI positive systems
• Agent-based computational finance: Suggested readings and early research
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• Multifrequency jump-diffusions: An equilibrium approach
• A NEW REFINEMENT OF YOUNG'S INEQUALITY
• A quantitative description for efficient financial markets
• Trading strategies, feedback control and market dynamics
• Minimal agent based model for financial markets. I

Cited In (14)

• A quantitative description for efficient financial markets
• Minimal agent based model for financial markets. II
• A functional framework for agent-based models of exchange
• Title not available (Why is that?)
• Title not available (Why is that?)
• Information driving force and its application in agent-based modeling
• A computational view of market efficiency
• Linking agent-based models and stochastic models of financial markets
• A SIMPLE MODEL FOR THE NONEQUILIBRIUM DYNAMICS AND EVOLUTION OF A FINANCIAL MARKET
• An agent-based model of corporate bond trading
• Nonlinear multi-analysis of agent-based financial market dynamics by epidemic system
• Price return autocorrelation and predictability in agent-based models of financial markets
• Why technical trading may be successful? A lesson from the agent-based modeling
• A simple agent-based financial market model: Direct interactions and comparisons of trading profits

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