Explaining stock return distributions via an agent-based model

DOI10.1007/S11071-021-06566-1MaRDI QIDQ6543309zbMATH OpenFDO

Authors Shaheen Seedat, Shirley Abelman

Publication date 24 May 2024

Published in Nonlinear Dynamics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S11071-021-06566-1

zbMATH Keywords

agent-based modellingcomplexity analysisexpectation-maximization algorithmmixed Gaussian modelsmultiscale entropystock return distributions

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Heterogeneous agent models (91B69)

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Cites work

• Agent-based simulation of a financial market
• Approximate entropy as a measure of system complexity.
• Artificial economic life: A simple model of a stockmarket
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Emergent dynamics of a macroeconomic agent based model with capital and credit
• Generalized autoregressive conditional heteroscedasticity
• Genetic algorithm learning to choose and use information
• Learning, estimation, and the stability of rational expectations
• Time series properties of an artificial stock market

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