A novel agent model of heterogeneous risk based on temporal interaction network for stock price simulation

DOI10.1016/J.PHYSA.2023.128981MaRDI QIDQ6167691zbMATH OpenOpenAlexFDO

Authors

Publication date 7 August 2023

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2023.128981

zbMATH Keywords

econophysicscomplex networksmultifractalityagent-based price model

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80)

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Cites work

• A continuous heterogeneous-agent model for the co-evolution of asset price and wealth distribution in financial market
• An agent-based model of supply chains with dynamic structures
• Heterogeneity is a key factor describing the initial outbreak of COVID-19
• Linking agent-based models and stochastic models of financial markets
• Linking market interaction intensity of 3D Ising type financial model with market volatility
• Mathematics of epidemics on networks. From exact to approximate models
• Multivariate multiscale entropy of financial markets
• Nonlinear multi-analysis of agent-based financial market dynamics by epidemic system
• Power-law distributions in binned empirical data
• Power-law distributions in empirical data
• Stochastic resonance in an interacting-agent model of stock market.
• \texttt{MFDFA}: efficient multifractal detrended fluctuation analysis in Python

Cited in

(1)

• Fractional interaction of financial agents in a stock market network

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