A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY
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Publication:5439973
DOI10.1017/S1365100506060299zbMath1144.91014OpenAlexW2162599984MaRDI QIDQ5439973
Simone Alfarano, Thomas C. H. Lux
Publication date: 30 January 2008
Published in: Macroeconomic Dynamics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s1365100506060299
Markov chainheterogeneous agentslong memorypower lawfinancial market modelherd behaviorvolatility clusteringfat tails
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Cites Work
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- Artificial economic life: A simple model of a stockmarket
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- Agent-based computational finance: Suggested readings and early research
- Statistical properties of genetic learning in a model of exchange rate
- VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
- Long memory and regime switching
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