Adding to the Regulator's Toolbox: Integration and Extension of Two Leading Market Models
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References listed on IDEAS
- Lux, Thomas, 1998. "The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions," Journal of Economic Behavior & Organization, Elsevier, vol. 33(2), pages 143-165, January.
- Lux, T. & M. Marchesi, "undated". "Scaling and Criticality in a Stochastic Multi-Agent Model of a Financial Market," Discussion Paper Serie B 438, University of Bonn, Germany, revised Jul 1998.
- Robert Axtell & Robert Axelrod & Joshua M. Epstein & Michael D. Cohen, 1995. "Aligning Simulation Models: A Case Study and Results," Working Papers 95-07-065, Santa Fe Institute.
- J. Doyne Farmer & Paolo Patelli & Ilija I. Zovko, 2003. "The Predictive Power of Zero Intelligence in Financial Markets," Papers cond-mat/0309233, arXiv.org, revised Feb 2004.
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- Richard Bookstaber & Michael D. Foley & Brian F. Tivnan, 2016. "Toward an understanding of market resilience: market liquidity and heterogeneity in the investor decision cycle," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 11(2), pages 205-227, October.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-06-04 (All new papers)
- NEP-FMK-2011-06-04 (Financial Markets)
- NEP-RMG-2011-06-04 (Risk Management)
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