Time variation of higher moments in a financial market with heterogeneous agents: an analytical approach
From MaRDI portal
Publication:844571
DOI10.1016/j.jedc.2006.12.014zbMath1181.91220OpenAlexW3121427768MaRDI QIDQ844571
Friedrich Wagner, Simone Alfarano, Thomas C. H. Lux
Publication date: 19 January 2010
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: http://wrap.warwick.ac.uk/1779/1/WRAP_Alfarano_fwp05-02.pdf
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (30)
Transition probability, dynamic regimes, and the critical point of financial crisis ⋮ Stochastic model of financial markets reproducing scaling and memory in volatility return intervals ⋮ Supportive interactions in the noisy voter model ⋮ Ordering dynamics in the voter model with aging ⋮ Estimation of an agent-based model of investor sentiment formation in financial markets ⋮ Stock market crashes as social phase transitions ⋮ The noisy voter model under the influence of contrarians ⋮ Order book model with herd behavior exhibiting long-range memory ⋮ Estimation of agent-based models using sequential Monte Carlo methods ⋮ Estimating a model of herding behavior on social networks ⋮ Do `complex' financial models really lead to complex dynamics? Agent-based models and multifractality ⋮ Empirical analysis and agent-based modeling of the Lithuanian parliamentary elections ⋮ Linking agent-based models and stochastic models of financial markets ⋮ Noisy voter model for the anomalous diffusion of parliamentary presence ⋮ Reduction from non-Markovian to Markovian dynamics: the case of aging in the noisy-voter model ⋮ Order aggressiveness, pre-trade transparency, and long memory in an order-driven market ⋮ Investor sentiment and trading behavior ⋮ Financial power laws: empirical evidence, models, and mechanisms ⋮ Order book, financial markets, and self-organized criticality ⋮ Herding, trend chasing and market volatility ⋮ From ants to fishing vessels: a simple model for herding and exploitation of finite resources ⋮ Multi-agent-based VaR forecasting ⋮ SWITCHING RATES AND THE ASYMPTOTIC BEHAVIOR OF HERDING MODELS ⋮ From discrete to continuous time evolutionary finance models ⋮ The financial instability hypothesis: a stochastic microfoundation framework ⋮ What distinguishes individual stocks from the index? ⋮ Minimal agent based model for financial markets. I ⋮ Network structure andn-dependence in agent-based herding models ⋮ Control of the socio-economic systems using herding interactions ⋮ Estimation of agent-based models: The case of an asymmetric herding model
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Equilibria in financial markets with heterogeneous agents: a probabilistic perspective
- Genetic learning as an explanation of stylized facts of foreign exchange markets
- Financial price fluctuations in a stock market model with many interacting agents
- Estimation of agent-based models: The case of an asymmetric herding model
- A microscopic model of the stock market: cycles, booms, and crashes
- Time variation of second moments from a noise trader/infection model
- Traders' long-run wealth in an artificial financial market
- Time series properties of an artificial stock market
- Microeconomic Models for Long Memory in the Volatility of Financial Time Series
- HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
- VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
- From Minority Games to real markets
- A simulation analysis of the microstructure of double auction markets*
- A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY
- Financial markets theory. Equilibrium, efficiency and information
- Handbook of stochastic methods for physics, chemistry and natural sciences.
This page was built for publication: Time variation of higher moments in a financial market with heterogeneous agents: an analytical approach
