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Econophysics review: II. Agent-based models

Citations

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Cited by:

  1. repec:hal:wpaper:hal-00777941 is not listed on IDEAS
  2. T. T. Chen & B. Zheng & Y. Li & X. F. Jiang, 2017. "New approaches in agent-based modeling of complex financial systems," Papers 1703.06840, arXiv.org.
  3. Robert Gk{e}barowski & Stanis{l}aw Dro.zd.z & Andrzej Z. G'orski & Pawe{l} O'swik{e}cimka, 2014. "Competition of Commodities for the Status of Money in an Agent-based Model," Papers 1412.2124, arXiv.org.
  4. Vygintas Gontis & Aleksejus Kononovicius, 2014. "Consentaneous Agent-Based and Stochastic Model of the Financial Markets," PLOS ONE, Public Library of Science, vol. 9(7), pages 1-12, July.
  5. Christoph J. Borner & Ingo Hoffmann & John H. Stiebel, 2024. "A closer look at the chemical potential of an ideal agent system," Papers 2401.09233, arXiv.org.
  6. Kiran Sharma & Subhradeep Das & Anirban Chakraborti, 2017. "Global Income Inequality and Savings: A Data Science Perspective," Papers 1801.00253, arXiv.org, revised Aug 2018.
  7. Pierre Gosselin & Aïleen Lotz & Marc Wambst, 2021. "A statistical field approach to capital accumulation," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 16(4), pages 817-908, October.
  8. Julius Bonart & Martin D. Gould, 2017. "Latency and liquidity provision in a limit order book," Quantitative Finance, Taylor & Francis Journals, vol. 17(10), pages 1601-1616, October.
  9. Pietro DeLellis & Anna DiMeglio & Franco Garofalo & Francesco Lo Iudice, 2017. "The evolving cobweb of relations among partially rational investors," PLOS ONE, Public Library of Science, vol. 12(2), pages 1-21, February.
  10. Fernandes, Leonardo H.S. & Silva, José W.L. & de Araujo, Fernando H.A., 2022. "Multifractal risk measures by Macroeconophysics perspective: The case of Brazilian inflation dynamics," Chaos, Solitons & Fractals, Elsevier, vol. 158(C).
  11. Manahov, Viktor, 2016. "A note on the relationship between high-frequency trading and latency arbitrage," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 281-296.
  12. Robin Nicole & Peter Sollich, 2017. "Dynamical selection of Nash equilibria using Experience Weighted Attraction Learning: emergence of heterogeneous mixed equilibria," Papers 1706.09763, arXiv.org.
  13. Ivan Jericevich & Patrick Chang & Tim Gebbie, 2021. "Simulation and estimation of an agent-based market-model with a matching engine," Papers 2108.07806, arXiv.org, revised Aug 2021.
  14. Viktor Manahov, 2018. "The rise of the machines in commodities markets: new evidence obtained using Strongly Typed Genetic Programming," Annals of Operations Research, Springer, vol. 260(1), pages 321-352, January.
  15. Buda, Andrzej & Kwapień, Jarosław, 2022. "Agent-based modelling of the global phonographic market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 598(C).
  16. Misha Perepelitsa, 2021. "Psychological dimension of adaptive trading in cryptocurrency markets," Papers 2109.12166, arXiv.org.
  17. Ivan Jericevich & Murray McKechnie & Tim Gebbie, 2021. "Calibrating an adaptive Farmer-Joshi agent-based model for financial markets," Papers 2104.09863, arXiv.org.
  18. Pirvu Daniela & Barbuceanu Mircea, 2016. "Recent Contributions Of The Statistical Physics In The Research Of Banking, Stock Exchange And Foreign Exchange Markets," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 2, pages 85-92, April.
  19. Stavros Drakopoulos & Ioannis Katselidis, 2015. "From Edgeworth to econophysics: a methodological perspective," Journal of Economic Methodology, Taylor & Francis Journals, vol. 22(1), pages 77-95, March.
  20. Di Xiao & Jun Wang & Hongli Niu, 2016. "Volatility Analysis of Financial Agent-Based Market Dynamics from Stochastic Contact System," Computational Economics, Springer;Society for Computational Economics, vol. 48(4), pages 607-625, December.
  21. Kononovicius, A. & Gontis, V., 2014. "Control of the socio-economic systems using herding interactions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 405(C), pages 80-84.
  22. Tilfani, Oussama & Kristoufek, Ladislav & Ferreira, Paulo & El Boukfaoui, My Youssef, 2022. "Heterogeneity in economic relationships: Scale dependence through the multivariate fractal regression," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 588(C).
  23. Ban Zheng & François Roueff & Frédéric Abergel, 2014. "Ergodicity and scaling limit of a constrained multivariate Hawkes process," Post-Print hal-00777941, HAL.
  24. Andrea Monaco & Matteo Ghio & Adamaria Perrotta, 2024. "Wealth dynamics in a multi-aggregate closed monetary system," Papers 2401.09871, arXiv.org.
  25. Jovanovic, Franck & Schinckus, Christophe, 2016. "Breaking down the barriers between econophysics and financial economics," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 256-266.
  26. Inoua, Sabiou M. & Smith, Vernon L., 2023. "A classical model of speculative asset price dynamics," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
  27. Kiran Sharma & Anirban Chakraborti, 2016. "Physicists' approach to studying socio-economic inequalities: Can humans be modelled as atoms?," Papers 1606.06051, arXiv.org, revised Aug 2018.
  28. Nikolaos Th. Chatzarakis, 2021. "Revisiting the role and consequences of Econophysics from a Marxian perspective," Bulletin of Political Economy, Bulletin of Political Economy, vol. 15(1), pages 45-68, June.
  29. Anirban Chakraborti & Hrishidev & Kiran Sharma & Hirdesh K. Pharasi, 2019. "Phase separation and scaling in correlation structures of financial markets," Papers 1910.06242, arXiv.org, revised Jul 2020.
  30. Ivan Jericevich & Patrick Chang & Tim Gebbie, 2021. "Simulation and estimation of a point-process market-model with a matching engine," Papers 2105.02211, arXiv.org, revised Aug 2021.
  31. Kaizoji, Taisei & Miyano, Michiko, 2016. "Why does the power law for stock price hold?," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 19-23.
  32. Seemann, Lars & Hua, Jia-Chen & McCauley, Joseph L. & Gunaratne, Gemunu H., 2012. "Ensemble vs. time averages in financial time series analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(23), pages 6024-6032.
  33. Pierre Gosselin & Aïleen Lotz & Marc Wambst, 2017. "A Path Integral Approach to Interacting Economic Systems with Multiple Heterogeneous Agents," Working Papers hal-01549586, HAL.
  34. Pierre Gosselin & Aïleen Lotz & Marc Wambst, 2020. "A path integral approach to business cycle models with large number of agents," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(4), pages 899-942, October.
  35. Alexander Lykov & Stepan Muzychka & Kirill Vaninsky, 2016. "Investor'S Sentiment In Multi-Agent Model Of The Continuous Double Auction," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(06), pages 1-29, September.
  36. Pierre Gosselin & Aïleen Lotz & Marc Wambst, 2018. "A Path Integral Approach to Business Cycle Models with Large Number of Agents," Working Papers hal-01893556, HAL.
  37. Luisanna Cocco & Michele Marchesi, 2016. "Modeling and Simulation of the Economics of Mining in the Bitcoin Market," PLOS ONE, Public Library of Science, vol. 11(10), pages 1-31, October.
  38. Luisanna Cocco & Giulio Concas & Michele Marchesi, 2017. "Using an artificial financial market for studying a cryptocurrency market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(2), pages 345-365, July.
  39. Aleksejus Kononovicius & Vygintas Gontis, 2014. "Herding interactions as an opportunity to prevent extreme events in financial markets," Papers 1409.8024, arXiv.org, revised May 2015.
  40. Donovan Platt & Tim Gebbie, 2016. "The Problem of Calibrating an Agent-Based Model of High-Frequency Trading," Papers 1606.01495, arXiv.org, revised Mar 2017.
  41. Misha Perepelitsa, 2021. "Investing in crypto: speculative bubbles and cyclic stochastic price pumps," Papers 2111.11315, arXiv.org, revised Oct 2022.
  42. Andrew W. Macpherson, 2023. "Adversarial blockchain queues and trading on a CFMM," Papers 2302.01663, arXiv.org, revised Feb 2023.
  43. Anirban Chakraborti & Dhruv Raina & Kiran Sharma, 2016. "Can an interdisciplinary field contribute to one of the parent disciplines from which it emerged?," Papers 1605.08354, arXiv.org.
  44. A. Lykov & S. Muzychka & K. Vaninsky, 2012. "Investor's sentiment in multi-agent model of the continuous double auction," Papers 1208.3083, arXiv.org, revised Feb 2016.
  45. Christopher M Wray & Steven R Bishop, 2016. "A Financial Market Model Incorporating Herd Behaviour," PLOS ONE, Public Library of Science, vol. 11(3), pages 1-28, March.
  46. A. O. Glekin & A. Lykov & K. L. Vaninsky, 2014. "On Simulation of Various Effects in Consolidated Order Book," Papers 1402.4150, arXiv.org.
  47. Hong Guo & Jianwu Lin & Fanlin Huang, 2023. "Market Making with Deep Reinforcement Learning from Limit Order Books," Papers 2305.15821, arXiv.org.
  48. Anshul Verma & Riccardo Junior Buonocore & Tiziana di Matteo, 2017. "A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering," Papers 1712.02138, arXiv.org, revised May 2018.
  49. Salvador Pueyo, 2013. "Is it a power law distribution? The case of economic contractions," Papers 1310.2567, arXiv.org.
  50. Fei Cao & Sebastien Motsch, 2021. "Derivation of wealth distributions from biased exchange of money," Papers 2105.07341, arXiv.org.
  51. Misha Perepelitsa & Ilya Timofeyev, 2022. "Self-sustained price bubbles driven by digital currency innovations and adaptive market behavior," SN Business & Economics, Springer, vol. 2(3), pages 1-15, March.
  52. Charles-Albert Lehalle, 2013. "Market Microstructure Knowledge Needed for Controlling an Intra-Day Trading Process," Papers 1302.4592, arXiv.org.
  53. Gao-Feng Gu & Xiong Xiong & Hai-Chuan Xu & Wei Zhang & Yongjie Zhang & Wei Chen & Wei-Xing Zhou, 2021. "An empirical behavioral order-driven model with price limit rules," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-24, December.
  54. Iori, G. & Porter, J., 2012. "Agent-Based Modelling for Financial Markets," Working Papers 12/08, Department of Economics, City University London.
  55. dos Santos, Renato Vieira & da Silva, Linaena Méricy, 2015. "Discreteness induced extinction," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 438(C), pages 17-25.
  56. Kononovicius, Aleksejus & Ruseckas, Julius, 2019. "Order book model with herd behavior exhibiting long-range memory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 171-191.
  57. Mitja Steinbacher & Matthias Raddant & Fariba Karimi & Eva Camacho Cuena & Simone Alfarano & Giulia Iori & Thomas Lux, 2021. "Advances in the agent-based modeling of economic and social behavior," SN Business & Economics, Springer, vol. 1(7), pages 1-24, July.
  58. Restocchi, Valerio & McGroarty, Frank & Gerding, Enrico, 2019. "Statistical properties of volume and calendar effects in prediction markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 523(C), pages 1150-1160.
  59. Zhu, Lirong & Chen, Jiawei & Di, Zengru & Chen, Liujun & Liu, Yan & Stanley, H. Eugene, 2017. "The mechanisms of labor division from the perspective of individual optimization," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 488(C), pages 112-120.
  60. Krenar Avdulaj & Ladislav Kristoufek, 2020. "On Tail Dependence and Multifractality," Mathematics, MDPI, vol. 8(10), pages 1-13, October.
  61. Moura, N.J. & Ribeiro, Marcelo B., 2013. "Testing the Goodwin growth-cycle macroeconomic dynamics in Brazil," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(9), pages 2088-2103.
  62. Ormazábal, Ignacio & Borotto, Félix A. & Astudillo, Hernán F., 2021. "An agent-based model for teaching–learning processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 565(C).
  63. Florin Turcaș & Florin Cornel Dumiter & Marius Boiță, 2022. "Econophysics Techniques and Their Applications on the Stock Market," Mathematics, MDPI, vol. 10(6), pages 1-25, March.
  64. Pierre Gosselin & Aïleen Lotz & Marc Wambst, 2019. "A Statistical Field Approach to Capital Accumulation," Working Papers hal-02280634, HAL.
  65. Tian, Songtao & Liu, Zhirong, 2020. "Emergence of income inequality: Origin, distribution and possible policies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 537(C).
  66. Takanobu Mizuta & Isao Yagi, 2023. "Comparing effects of price limit and circuit breaker in stock exchanges by an agent-based model," Papers 2309.10220, arXiv.org.
  67. Stein, Julian Alexander Cornelius & Braun, Dieter, 2019. "Stability of a time-homogeneous system of money and antimoney in an agent-based random economy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 520(C), pages 232-249.
  68. Jean-Philippe Bouchaud, 2012. "Crises and collective socio-economic phenomena: simple models and challenges," Papers 1209.0453, arXiv.org, revised Dec 2012.
  69. Torsten Trimborn & Philipp Otte & Simon Cramer & Maximilian Beikirch & Emma Pabich & Martin Frank, 2020. "SABCEMM: A Simulator for Agent-Based Computational Economic Market Models," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 707-744, February.
  70. Ban Zheng & Franc{c}ois Roueff & Fr'ed'eric Abergel, 2013. "Ergodicity and scaling limit of a constrained multivariate Hawkes process," Papers 1301.5007, arXiv.org, revised Feb 2014.
  71. Hua, Jia-Chen & Chen, Lijian & Falcon, Liberty & McCauley, Joseph L. & Gunaratne, Gemunu H., 2015. "Variable diffusion in stock market fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 221-233.
  72. Manahov, Viktor & Hudson, Robert & Linsley, Philip, 2014. "New evidence about the profitability of small and large stocks and the role of volume obtained using Strongly Typed Genetic Programming," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 299-316.
  73. Martin Šmíd, 2016. "Estimation of zero-intelligence models by L1 data," Quantitative Finance, Taylor & Francis Journals, vol. 16(9), pages 1423-1444, September.
  74. Bauermann, Tom & Roos, Michael W. M. & Schaff, Frederik, 2020. "POSA: Policy implementation sensitivity analysis," Ruhr Economic Papers 854, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  75. Li-Xin Wang, 2014. "Dynamical Models of Stock Prices Based on Technical Trading Rules Part II: Analysis of the Models," Papers 1401.1891, arXiv.org, revised Feb 2016.
  76. Vaidya, Tushar & Chotibut, Thiparat & Piliouras, Georgios, 2021. "Broken detailed balance and non-equilibrium dynamics in noisy social learning models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 570(C).
  77. Salvador Pueyo, 2014. "Ecological Econophysics for Degrowth," Sustainability, MDPI, vol. 6(6), pages 1-53, May.
  78. V'it Perv{z}ina & Jan M. Swart, 2016. "How much market making does a market need?," Papers 1612.00981, arXiv.org, revised Jun 2018.
  79. Zhang, Jiu & Jin, Li-Fu & Zheng, Bo & Li, Yan & Jiang, Xiong-Fei, 2022. "Simplified calculations of time correlation functions in non-stationary complex financial systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 589(C).
  80. Kaldasch, Joachim, 2014. "Evolutionary model of stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 415(C), pages 449-462.
  81. Upadhyay, Shashankaditya & Banerjee, Anirban & Panigrahi, Prasanta K., 2020. "Causal evolution of global crisis in financial networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 554(C).
  82. Victor Olkhov, 2019. "Financial Variables, Market Transactions, and Expectations as Functions of Risk," IJFS, MDPI, vol. 7(4), pages 1-27, November.
  83. Aydiner, Ekrem & Cherstvy, Andrey G. & Metzler, Ralf, 2018. "Wealth distribution, Pareto law, and stretched exponential decay of money: Computer simulations analysis of agent-based models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 278-288.
  84. Ignacio Ormazábal & F. A. Borotto & H. F. Astudillo, 2017. "Influence of Money Distribution on Civil Violence Model," Complexity, Hindawi, vol. 2017, pages 1-15, November.
  85. Tu, Chengyi, 2014. "Cointegration-based financial networks study in Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 402(C), pages 245-254.
  86. Poitras, Geoffrey, 2018. "The pre-history of econophysics and the history of economics: Boltzmann versus the marginalists," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 89-98.
  87. Nasiri, S. & Bektas, E. & Jafari, G.R., 2018. "The impact of trading volume on the stock market credibility: Bohmian quantum potential approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 1104-1112.
  88. Ulrich Horst & Wei Xu, 2017. "A Scaling Limit for Limit Order Books Driven by Hawkes Processes," Papers 1709.01292, arXiv.org, revised Aug 2018.
  89. Immonen, Eero, 2017. "Simple agent-based dynamical system models for efficient financial markets: Theory and examples," Journal of Mathematical Economics, Elsevier, vol. 69(C), pages 38-53.
  90. Aleksejus Kononovicius & Julius Ruseckas, 2018. "Order book model with herd behavior exhibiting long-range memory," Papers 1809.02772, arXiv.org, revised Apr 2019.
  91. Adão, Luiz F.S. & Silveira, Douglas & Ely, Regis A. & Cajueiro, Daniel O., 2022. "The impacts of interest rates on banks’ loan portfolio risk-taking," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
  92. Torsten Trimborn & Philipp Otte & Simon Cramer & Max Beikirch & Emma Pabich & Martin Frank, 2018. "SABCEMM-A Simulator for Agent-Based Computational Economic Market Models," Papers 1801.01811, arXiv.org, revised Oct 2018.
  93. Konark Jain & Nick Firoozye & Jonathan Kochems & Philip Treleaven, 2024. "Limit Order Book Simulations: A Review," Papers 2402.17359, arXiv.org, revised Mar 2024.
  94. Chen, Ting-Ting & Zheng, Bo & Li, Yan & Jiang, Xiong-Fei, 2018. "Information driving force and its application in agent-based modeling," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 496(C), pages 593-601.
  95. Aleksejus Kononovicius & Valentas Daniunas, 2013. "Agent-based and macroscopic modeling of the complex socio-economic systems," Papers 1303.3693, arXiv.org, revised Apr 2013.
  96. Hirdesh K. Pharasi & Kiran Sharma & Anirban Chakraborti & Thomas H. Seligman, 2018. "Complex market dynamics in the light of random matrix theory," Papers 1809.07100, arXiv.org, revised Sep 2018.
  97. Li-Xin Wang, 2014. "Gaussian-Chain Filters for Heavy-Tailed Noise with Application to Detecting Big Buyers and Big Sellers in Stock Market," Papers 1405.2220, arXiv.org.
  98. Upadhyay, Shashankaditya & Mukherjee, Indranil & Panigrahi, Prasanta K., 2023. "Inner composition alignment networks reveal financial impacts of COVID-19," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 609(C).
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