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Market clearing by maximum entropy in agent models of stock markets

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  • Friedrich Wagner

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    File URL: http://hdl.handle.net/10.1007/s11403-011-0079-9
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    Article provided by Springer in its journal Journal of Economic Interaction and Coordination.

    Volume (Year): 6 (2011)
    Issue (Month): 2 (November)
    Pages: 121-138

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    Handle: RePEc:spr:jeicoo:v:6:y:2011:i:2:p:121-138

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

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2006. "Time-variation of higher moments in a financial market with heterogeneous agents: An analytical approach," Economics Working Papers 2006,16, Christian-Albrechts-University of Kiel, Department of Economics.
    2. C. Anteneodo & R. Riera, 2005. "Additive-multiplicative stochastic models of financial mean-reverting processes," Papers physics/0502119, arXiv.org.
    3. Laurent Calvet, 2000. "Forecasting Multifractal Volatility," Harvard Institute of Economic Research Working Papers 1902, Harvard - Institute of Economic Research.
    4. Alan P. Kirman, Gilles Teyssiere, 2001. "Microeconomic Models for Long-Memory in the Volatility of Financial Time Series," Computing in Economics and Finance 2001, Society for Computational Economics 221, Society for Computational Economics.
    5. Adrian Dragulescu & Victor M. Yakovenko, 2000. "Statistical mechanics of money," Papers cond-mat/0001432, arXiv.org, revised Aug 2000.
    6. R. Cont, 2001. "Empirical properties of asset returns: stylized facts and statistical issues," Quantitative Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 1(2), pages 223-236.
    7. Simone Alfarano & Thomas Lux & Friedrich Wagner, 2005. "Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model," Computational Economics, Society for Computational Economics, Society for Computational Economics, vol. 26(1), pages 19-49, August.
    8. Carl Chiarella & Xue-Zhong He, 1999. "Heterogeneous Beliefs, Risks and Learning in a Simple Asset Pricing Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 18, Quantitative Finance Research Centre, University of Technology, Sydney.
    9. Wagner, Friedrich, 2006. "Application of Zhangs square root law and herding to financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 364(C), pages 369-384.
    10. Victor M. Yakovenko & J. Barkley Rosser, 2009. "Colloquium: Statistical mechanics of money, wealth, and income," Papers 0905.1518, arXiv.org, revised Dec 2009.
    11. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2008. "Heterogeneity, Market Mechanisms, and Asset Price Dynamics," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 231, Quantitative Finance Research Centre, University of Technology, Sydney.
    12. Gaunersdorfer, Andrea, 2000. "Endogenous fluctuations in a simple asset pricing model with heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 24(5-7), pages 799-831, June.
    13. repec:att:wimass:9621 is not listed on IDEAS
    14. Kirman, Alan, 1993. "Ants, Rationality, and Recruitment," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 108(1), pages 137-56, February.
    15. Lux, T. & M. Marchesi, . "Volatility Clustering in Financial Markets: A Micro-Simulation of Interacting Agents," Discussion Paper Serie B 437, University of Bonn, Germany, revised Jul 1998.
    16. Smith, Eric & Foley, Duncan K., 2008. "Classical thermodynamics and economic general equilibrium theory," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 32(1), pages 7-65, January.
    17. F. Wagner & M. Milaković & S. Alfarano, 2010. "What distinguishes individual stocks from the index?," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, Springer, vol. 73(1), pages 23-28, January.
    18. Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 22(8-9), pages 1235-1274, August.
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