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

DOI10.1016/J.JMATECO.2016.12.005MaRDI QIDQ516053zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 1182386 (Why is no real title available?)
• scientific article; zbMATH DE number 3439537 (Why is no real title available?)
• A NEW REFINEMENT OF YOUNG'S INEQUALITY
• A quantitative description for efficient financial markets
• Agent-based computational finance: Suggested readings and early research
• Handbook of computational economics. Vol. 2: Agent-based computational economics
• Minimal agent based model for financial markets. I
• Multifrequency jump-diffusions: An equilibrium approach
• Solvability of static output-feedback stabilization for LTI positive systems
• Stability in linear delay equations
• The internal model principle of control theory
• Trading strategies, feedback control and market dynamics
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS

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
• scientific article; zbMATH DE number 2209539 (Why is no real title available?)
• scientific article; zbMATH DE number 2084631 (Why is no real title available?)
• 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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