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

DOI10.1142/S1793005720500192MaRDI QIDQ5874629zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

financial stylized factsround-trip tradingcognitive agent-based model

Mathematics Subject Classification ID

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

Recommendations

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Cites work

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

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