Time variation of higher moments in a financial market with heterogeneous agents: an analytical approach
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Cited in
(45)- Switching rates and the asymptotic behavior of herding models
- Minimal agent based model for financial markets. I
- Approximate Bayesian inference for agent-based models in economics: a case study
- Do `complex' financial models really lead to complex dynamics? Agent-based models and multifractality
- From discrete to continuous time evolutionary finance models
- Herding, trend chasing and market volatility
- Statistical properties of a heterogeneous asset pricing model with time-varying second moment
- Estimation of agent-based models using sequential Monte Carlo methods
- What distinguishes individual stocks from the index?
- Parameter estimation of an agent-based stock price model
- Estimating a model of herding behavior on social networks
- Stock market crashes as social phase transitions
- The financial instability hypothesis: a stochastic microfoundation framework
- Order book model with herd behavior exhibiting long-range memory
- Transition probability, dynamic regimes, and the critical point of financial crisis
- The roles of mean residence time on herd behavior in a financial market
- Stochastic model of financial markets reproducing scaling and memory in volatility return intervals
- Network structure andn-dependence in agent-based herding models
- Noisy voter model for the anomalous diffusion of parliamentary presence
- Empirical analysis and agent-based modeling of the Lithuanian parliamentary elections
- From ants to fishing vessels: a simple model for herding and exploitation of finite resources
- 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
- The microeconomic foundations of instability in financial markets
- A kinetic description for the herding behavior in financial market
- Estimation of an agent-based model of investor sentiment formation in financial markets
- Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment
- Financial power laws: empirical evidence, models, and mechanisms
- An analysis of the effect of noise in a heterogeneous agent financial market model
- A behavioral asset pricing model with a time-varying second moment
- EXACT SOLUTION OF A MODEL FOR CROWDING AND INFORMATION TRANSMISSION IN FINANCIAL MARKETS
- Linking agent-based models and stochastic models of financial markets
- Herding, a-synchronous updating and heterogeneity in memory in a CBS
- Estimation of agent-based models: The case of an asymmetric herding model
- The noisy voter model under the influence of contrarians
- Order book, financial markets, and self-organized criticality
- HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
- Supportive interactions in the noisy voter model
- Time-varying economic dominance in financial markets: a bistable dynamics approach
- Ordering dynamics in the voter model with aging
- Robust mathematical formulation and probabilistic description of agent-based computational economic market models
- Control of the socio-economic systems using herding interactions
- Dynamics of financial time series in an inhomogeneous aggregation framework
- Multi-agent-based VaR forecasting
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