Agent-Based Stock Market Model with Endogenous Agents' Impact
AbstractThe three-state agent-based 2D model of financial markets as proposed by Giulia Iori has been extended by introducing increasing trust in the correctly predicting agents, a more realistic consultation procedure as well as a formal validation mechanism. This paper shows that such a model correctly reproduces the three fundamental stylised facts: fat-tail log returns, power-law volatility autocorrelation decay in time and volatility clustering.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1310.0762.
Date of creation: Oct 2013
Date of revision: Dec 2013
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-10-05 (All new papers)
- NEP-CMP-2013-10-05 (Computational Economics)
- NEP-FMK-2013-10-05 (Financial Markets)
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