Do ‘complex’ financial models really lead to complex dynamics? Agent-based models and multifractality
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DOI: 10.1016/j.jedc.2020.103855
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Cited by:
- Andrea Vandin & Daniele Giachini & Francesco Lamperti & Francesca Chiaromonte, 2020. "Automated and Distributed Statistical Analysis of Economic Agent-Based Models," LEM Papers Series 2020/31, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Schmitt, Noemi & Schwartz, Ivonne & Westerhoff, Frank H., 2020. "Heterogeneous speculators and stock market dynamics: A simple agent-based computational model," BERG Working Paper Series 160, Bamberg University, Bamberg Economic Research Group.
More about this item
Keywords
Complex systems; Financial agent-based models; Time series analysis; Multifractal analysis; Detrended fluctuation analysis;JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
- G02 - Financial Economics - - General - - - Behavioral Finance: Underlying Principles
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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