Limit theorems for individual-based models in economics and finance
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References listed on IDEAS
- Steffen Huck & Michael Kosfeld, 2007.
"The Dynamics of Neighbourhood Watch and Norm Enforcement,"
Royal Economic Society, vol. 117(516), pages 270-286, January.
- Steffen Huck & Michael Kosfeld, "undated". "The Dynamics of Neighbourhood Watch and Norm Enforcement," IEW - Working Papers 199, Institute for Empirical Research in Economics - University of Zurich.
- Darrell Duffie, 2012.
Introductory Chapters,in: Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets
Princeton University Press.
- Follmer, Hans, 1974. "Random economies with many interacting agents," Journal of Mathematical Economics, Elsevier, vol. 1(1), pages 51-62, March.
- Darrell Duffie & Gustavo Manso, 2007. "Information Percolation in Large Markets," American Economic Review, American Economic Association, vol. 97(2), pages 203-209, May.
- Giesecke, Kay & Weber, Stefan, 2004. "Cyclical correlations, credit contagion, and portfolio losses," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 3009-3036, December.
More about this item
KeywordsIndividual-based model Interacting particle system Law of large numbers Central limit theorem Fluctuation process Measure-valued process Finance Economics;
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