Agent-based model with heterogeneous fundamental prices
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References listed on IDEAS
- Johnson, Neil F. & Jefferies, Paul & Hui, Pak Ming, 2003. "Financial Market Complexity," OUP Catalogue, Oxford University Press, number 9780198526650.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Ling-Yun He, 2010. "Is Price Behavior Scaling and Multiscaling in a Dealer Market? Perspectives from Multi-Agent Based Experiments," Computational Economics, Springer;Society for Computational Economics, vol. 36(3), pages 263-282, October.
- Kiniwa, Jun & Koide, Takeshi & Sandoh, Hiroaki, 2009. "Analysis of price behavior in lazy $-game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(18), pages 3879-3891.
- Ahmad Naimzada & Giorgio Ricchiuti, 2006. "Heterogeneous Fundamentalists and Imitative Processes," Working Papers 104, University of Milano-Bicocca, Department of Economics, revised Nov 2006.
- Lustosa, Bernardo C. & Cajueiro, Daniel O., 2010. "Constrained information minority game: How was the night at El Farol?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(6), pages 1230-1238.
- Tilles, Paulo F.C. & Ferreira, Fernando F. & Francisco, Gerson & Pereira, Carlos de B. & Sarti, Flavia M., 2011. "A Markovian model market—Akerlof’s lemons and the asymmetry of information," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(13), pages 2562-2570.
- Kukacka, Jiri & Barunik, Jozef, 2013.
"Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 392(23), pages 5920-5938.
- Jiri Kukacka & Jozef Barunik, 2012. "Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment," Papers 1205.3763, arXiv.org, revised May 2013.
- Mello, Bernardo A. & Cajueiro, Daniel O., 2008. "Minority games, diversity, cooperativity and the concept of intelligence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(2), pages 557-566.
More about this item
KeywordsGrand canonical minority game; Stylized facts; Heterogeneity in fundamental prices;
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