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Frankfurt Artificial Stock Market: a microscopic stock market model with heterogeneous interacting agents in small-world communication networks

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Author Info
Oliver Hein ()
Michael Schwind ()
Markus Spiwoks ()
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File URL: http://hdl.handle.net/10.1007/s11403-008-0036-4
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Article provided by Springer in its journal Journal of Economic Interaction and Coordination.

Volume (Year): 3 (2008)
Issue (Month): 1 (June)
Pages: 59-71
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Handle: RePEc:spr:jeicoo:v:3:y:2008:i:1:p:59-71

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Web page: http://www.springer.com/economics/economic+theory/journal/11403

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  1. P. Bak & M. Paczuski & M. Shubik, 1996. "Price Variations in a Stock Market with Many Agents," Working Papers 96-09-075, Santa Fe Institute.
    Other versions:
  2. Lux, T. & M. Marchesi, . "Scaling and Criticality in a Stochastic Multi-Agent Model of a Financial Market," Discussion Paper Serie B 438, University of Bonn, Germany, revised Jul 1998.
  3. Rama Cont & Jean-Philippe Bouchaud, 1997. "Herd behavior and aggregate fluctuations in financial markets," Science & Finance (CFM) working paper archive 500028, Science & Finance, Capital Fund Management. [Downloadable!]
  4. W. Brian Arthur & John H. Holland & Blake LeBaron & Richard Palmer & Paul Taylor, 1996. "Asset Pricing Under Endogenous Expectation in an Artificial Stock Market," Working Papers 96-12-093, Santa Fe Institute.
  5. Cars H. Hommes, 2005. "Heterogeneous Agent Models in Economics and Finance," Tinbergen Institute Discussion Papers 05-056/1, Tinbergen Institute. [Downloadable!]
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  6. Frank Westerhoff, 2003. "Heterogeneous traders and the Tobin tax," Journal of Evolutionary Economics, Springer, vol. 13(1), pages 53-70, 02. [Downloadable!] (restricted)
    Other versions:
  7. Cont, Rama & Bouchaud, Jean-Philipe, 2000. "Herd Behavior And Aggregate Fluctuations In Financial Markets," Macroeconomic Dynamics, Cambridge University Press, vol. 4(02), pages 170-196, June. [Downloadable!]
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