Market dynamics when agents anticipate correlation breakdown

DOI10.1155/2011/959847zbMATH Open1230.91169OpenAlexW2030152993WikidataQ58655572 ScholiaQ58655572MaRDI QIDQ659565FDOQ659565

Authors: Paolo Falbo, Rosanna Grassi 

Publication date: 23 January 2012

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

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

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Mathematics Subject Classification ID

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

Cites Work

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

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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