On the specification of noise in two agent-based asset pricing models
From MaRDI portal
Publication:976529
DOI10.1016/J.JEDC.2010.02.002zbMATH Open1230.91057OpenAlexW1977967613MaRDI QIDQ976529FDOQ976529
Authors: Reiner Franke 
Publication date: 11 June 2010
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2010.02.002
Recommendations
- Linking agent-based models and stochastic models of financial markets
- Estimation of a structural stochastic volatility model of asset pricing
- A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY
- Cautious trend-seeking and complex asset price dynamics
- scientific article; zbMATH DE number 1843102
heterogeneous agentsvolatility clusteringautocorrelations of returnsstructural stochastic volatility
Cites Work
- Heterogeneous beliefs and routes to chaos in a simple asset pricing model
- Behavioral heterogeneity in stock prices
- Estimation of agent-based models: The case of an asymmetric herding model
- Power-law behaviour, heterogeneity, and trend chasing
- Agent-based computational finance: Suggested readings and early research
- Estimation of a structural stochastic volatility model of asset pricing
- Representativeness of news and exchange rate dynamics
- A nonlinear structural model for volatility clustering
- Speculative markets and the effectiveness of price limits
- Modeling exchange rate behavior with a genetic algorithm
Cited In (7)
- The effect of external noise on the dynamics of speculative markets
- Do `complex' financial models really lead to complex dynamics? Agent-based models and multifractality
- Speculative behavior and the dynamics of interacting stock markets
- On the bimodality of the distribution of the S\&P 500's distortion: empirical evidence and theoretical explanations
- Estimation of a structural stochastic volatility model of asset pricing
- An analysis of the effect of noise in a heterogeneous agent financial market model
- Boom-bust dynamics in a stock market participation model with heterogeneous traders
This page was built for publication: On the specification of noise in two agent-based asset pricing models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q976529)
