Study on the stability of an artificial stock option market based on bidirectional conduction

DOI10.3390/E15020700zbMATH Open1296.91295OpenAlexW1968682129MaRDI QIDQ742669FDOQ742669

Authors: Haijun Yang, Gui-Ping Sun 

Publication date: 19 September 2014

Published in: Entropy (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3390/e15020700

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zbMATH Keywords

stabilityinformation diffusionoptionartificial financial marketbidirectional conduction

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Actuarial science and mathematical finance (91G99)

Cites Work

• The pricing of options and corporate liabilities
• Generalized autoregressive conditional heteroscedasticity
• Options and Efficiency
• Time series properties of an artificial stock market
• Forecasting the stock market with linguistic rules generated from the minimize entropy principle and the cumulative probability distribution approaches
• Modeling and simulation of an artificial stock option market

Cited In (9)

• Clarifying the dynamics of the relationship between option and stock markets using the threshold vector error correction model
• A study on the chaos model of liquidity in stock market
• A study on effects of market systems in an artificial market
• A note on interaction between financial markets
• Studies on the Impact of the Option Market on the Underlying Stock Market
• Modeling and simulation of an artificial stock option market
• Investment disputes and their explicit role in option market uncertainty and overall risk instability
• The interplay between two stock markets and a related foreign exchange market: A simulation approach
• An agent-based approach for time-series momentum and reversal

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