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

DOI10.1016/J.JMATECO.2016.12.005zbMath1395.91229OpenAlexW2568829244MaRDI QIDQ516053

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

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)

Related Items (1)

An agent-based model of corporate bond trading

Cites Work

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• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
• A NEW REFINEMENT OF YOUNG'S INEQUALITY

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