Stylized facts from a threshold-based heterogeneous agent model

DOI10.1140/epjb/e2007-00108-5zbMath1189.91061arXivphysics/0607290OpenAlexW2159859228MaRDI QIDQ978829

T. Seaman, Rod Cross, Harbir Lamba, Michael Grinfeld

Publication date: 25 June 2010

Published in: The European Physical Journal B. Condensed Matter and Complex Systems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/physics/0607290

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Economic time series analysis (91B84) Auctions, bargaining, bidding and selling, and other market models (91B26) Heterogeneous agent models (91B69)

Related Items (2)

Hopf bifurcation in symmetric networks of coupled oscillators with hysteresis ⋮ Dynamics of Discrete Time Systems with a Hysteresis Stop Operator

Cites Work

• Iterated Random Functions
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
• Introduction to Econophysics
• Unnamed Item

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