Market dynamics when agents anticipate correlation breakdown

DOI10.1155/2011/959847MaRDI QIDQ659565zbMATH OpenOpenAlexWikidataFDO

Authors Paolo Falbo, Rosanna Grassi

Publication date 23 January 2012

Published in Discrete Dynamics in Nature and Society (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2011/959847

Mathematics Subject Classification ID

Portfolio theory (91G10) Microeconomic theory (price theory and economic markets) (91B24) Economic dynamics (91B55)

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Cites work

• Advances in prospect theory: cumulative representation of uncertainty
• HERD BEHAVIOR AND NONFUNDAMENTAL ASSET PRICE FLUCTUATIONS IN FINANCIAL MARKETS
• The Dynamic Interaction of Speculation and Diversification

Cited in

(4)

• Does expectation of correlation breakdown in financial market fulfill itself?
• Evolving dynamics of trading behavior based on coordination game in complex networks
• An evolution model of trading behavior based on peer effect in networks
• Market impact as anticipation of the order flow imbalance

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