Time variation of higher moments in a financial market with heterogeneous agents: an analytical approach
From MaRDI portal
Publication:844571
DOI10.1016/J.JEDC.2006.12.014zbMATH Open1181.91220OpenAlexW3121427768MaRDI QIDQ844571FDOQ844571
Friedrich Wagner, Simone Alfarano, Thomas C. H. Lux
Publication date: 19 January 2010
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: http://wrap.warwick.ac.uk/1779/1/WRAP_Alfarano_fwp05-02.pdf
Recommendations
Economic time series analysis (91B84) Statistical methods; risk measures (91G70) Heterogeneous agent models (91B69)
Cites Work
- Financial markets theory. Equilibrium, efficiency and information
- VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
- Title not available (Why is that?)
- Handbook of stochastic methods for physics, chemistry and natural sciences.
- Estimation of agent-based models: The case of an asymmetric herding model
- Equilibria in financial markets with heterogeneous agents: a probabilistic perspective
- HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
- Financial price fluctuations in a stock market model with many interacting agents
- Time series properties of an artificial stock market
- Microeconomic Models for Long Memory in the Volatility of Financial Time Series
- Title not available (Why is that?)
- A microscopic model of the stock market: cycles, booms, and crashes
- Title not available (Why is that?)
- Time variation of second moments from a noise trader/infection model
- Title not available (Why is that?)
- A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY
- Genetic learning as an explanation of stylized facts of foreign exchange markets
- A simulation analysis of the microstructure of double auction markets*
- Traders' long-run wealth in an artificial financial market
- From Minority Games to real markets
Cited In (40)
- Approximate Bayesian inference for agent-based models in economics: a case study
- Minimal agent based model for financial markets. I
- 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
- Parameter estimation of an agent-based stock price model
- Estimating a model of herding behavior on social networks
- What distinguishes individual stocks from the index?
- Stock market crashes as social phase transitions
- Order book model with herd behavior exhibiting long-range memory
- The financial instability hypothesis: a stochastic microfoundation framework
- Transition probability, dynamic regimes, and the critical point of financial crisis
- 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
- SWITCHING RATES AND THE ASYMPTOTIC BEHAVIOR OF HERDING MODELS
- Reduction from non-Markovian to Markovian dynamics: the case of aging in the noisy-voter model
- Investor sentiment and trading behavior
- 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
- Order aggressiveness, pre-trade transparency, and long memory in an order-driven market
- Estimation of an agent-based model of investor sentiment formation in financial markets
- Financial power laws: empirical evidence, models, and mechanisms
- EXACT SOLUTION OF A MODEL FOR CROWDING AND INFORMATION TRANSMISSION IN FINANCIAL MARKETS
- 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
- 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
- HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
- Order book, financial markets, and self-organized criticality
- Supportive interactions in the noisy voter model
- Robust mathematical formulation and probabilistic description of agent-based computational economic market models
- Ordering dynamics in the voter model with aging
- Control of the socio-economic systems using herding interactions
- Dynamics of financial time series in an inhomogeneous aggregation framework
- Multi-agent-based VaR forecasting
This page was built for publication: Time variation of higher moments in a financial market with heterogeneous agents: an analytical approach
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q844571)
