An Extended Speculation Game for the Recovery of Hurst Exponent of Financial Time Series

DOI10.1142/S1793005720500192OpenAlexW3047105014MaRDI QIDQ5874629FDOQ5874629

Authors: Kei Katahira, Yu Chen 

Publication date: 8 February 2023

Published in: New Mathematics and Natural Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1909.02899

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zbMATH Keywords

financial stylized factsround-trip tradingcognitive agent-based model

Mathematics Subject Classification ID

Applications of game theory (91A80) Financial markets (91G15)

Cites Work

• Empirical properties of asset returns: stylized facts and statistical issues
• Introduction to Econophysics
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• Development of an agent-based speculation game for higher reproducibility of financial stylized facts

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