IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this paper

Agent-based Models of Financial Markets

  • E. Samanidou
  • E. Zschischang
  • D. Stauffer
  • T. Lux
Registered author(s):

This review deals with several microscopic (``agent-based'') models of financial markets which have been studied by economists and physicists over the last decade: Kim-Markowitz, Levy-Levy-Solomon, Cont-Bouchaud, Solomon-Weisbuch, Lux-Marchesi, Donangelo-Sneppen and Solomon-Levy-Huang. After an overview of simulation approaches in financial economics, we first give a summary of the Donangelo-Sneppen model of monetary exchange and compare it with related models in economics literature. Our selective review then outlines the main ingredients of some influential early models of multi-agent dynamics in financial markets (Kim-Markowitz, Levy-Levy-Solomon). As will be seen, these contributions draw their inspiration from the complex appearance of investors' interactions in real-life markets. Their main aim is to reproduce (and, thereby, provide possible explanations) for the spectacular bubbles and crashes seen in certain historical episodes, but they lack (like almost all the work before 1998 or so) a perspective in terms of the universal statistical features of financial time series.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://arxiv.org/pdf/physics/0701140
File Function: Latest version
Download Restriction: no

Paper provided by arXiv.org in its series Papers with number physics/0701140.

as
in new window

Length:
Date of creation: Jan 2007
Handle: RePEc:arx:papers:physics/0701140
Contact details of provider: Web page: http://arxiv.org/

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

as in new window
  1. Foley Duncan K., 1994. "A Statistical Equilibrium Theory of Markets," Journal of Economic Theory, Elsevier, vol. 62(2), pages 321-345, April.
  2. S. Sinha & S. Raghavendra, 2004. "Hollywood blockbusters and long-tailed distributions," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 42(2), pages 293-296, November.
  3. Brown, Paul M., 1996. "Experimental evidence on money as a medium of exchange," Journal of Economic Dynamics and Control, Elsevier, vol. 20(4), pages 583-600, April.
  4. Chiarella, Carl & Dieci, Roberto & Gardini, Laura, 2002. "Speculative behaviour and complex asset price dynamics: a global analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 49(2), pages 173-197, October.
  5. Zhi-Feng Huang, 2000. "Self-organized model for information spread in financial markets," Papers cond-mat/0004314, arXiv.org.
  6. Dawid, Herbert, 1999. "On the convergence of genetic learning in a double auction market," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1545-1567, September.
  7. Frank Westerhoff, 2003. "Heterogeneous traders and the Tobin tax," Journal of Evolutionary Economics, Springer, vol. 13(1), pages 53-70, 02.
  8. Zhi-Feng Huang & Sorin Solomon, 2001. "Finite market size as a source of extreme wealth inequality and market instability," Papers cond-mat/0103170, arXiv.org.
  9. Yi-Cheng Zhang, 1999. "Toward a Theory of Marginally Efficient Markets," Papers cond-mat/9901243, arXiv.org.
  10. G. Ehrenstein & F. Westerhoff & D. Stauffer, 2003. "Tobin tax and market depth," Papers cond-mat/0311581, arXiv.org.
  11. Ofer Biham & Zhi-Feng Huang & Ofer Malcai & Sorin Solomon, 2002. "Long-Time Fluctuations in a Dynamical Model of Stock Market Indices," Papers cond-mat/0208464, arXiv.org.
  12. Farmer, J. Doyne & Joshi, Shareen, 2002. "The price dynamics of common trading strategies," Journal of Economic Behavior & Organization, Elsevier, vol. 49(2), pages 149-171, October.
  13. Kiyotaki, Nobuhiro & Wright, Randall, 1989. "On Money as a Medium of Exchange," Journal of Political Economy, University of Chicago Press, vol. 97(4), pages 927-954, August.
  14. Gerard Weisbuch & Sorin Solomon & Dietrich Stauffer, 2002. "Social Percolation and Self-Organized Criticality," Computing in Economics and Finance 2002 203, Society for Computational Economics.
  15. Madhavan, Ananth, 2000. "Market microstructure: A survey," Journal of Financial Markets, Elsevier, vol. 3(3), pages 205-258, August.
  16. Duffy, John, 2001. "Learning to speculate: Experiments with artificial and real agents," Journal of Economic Dynamics and Control, Elsevier, vol. 25(3-4), pages 295-319, March.
  17. Brennan, Michael J & Schwartz, Eduardo S, 1989. "Portfolio Insurance and Financial Market Equilibrium," The Journal of Business, University of Chicago Press, vol. 62(4), pages 455-72, October.
  18. Gérard Weisbuch & Dietrich Stauffer, 2000. "Hits and Flops Dynamics," Working Papers 00-07-036, Santa Fe Institute.
  19. Z. Eisler & J. Kertész, 2006. "Size matters: some stylized facts of the stock market revisited," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 51(1), pages 145-154, 05.
  20. Stanley C. Hollander & Kathleen M. Rassuli (ed.), 1993. "Marketing," Books, Edward Elgar Publishing, volume 0, number 512, June.
  21. Egenter, E. & Lux, T. & Stauffer, D., 1999. "Finite-size effects in Monte Carlo simulations of two stock market models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 268(1), pages 250-256.
  22. Matteo Marsili & Andrea De Martino, 2006. "Statistical mechanics of socio-economic systems with heterogeneous agents," Working Papers wp06-12, Warwick Business School, Finance Group.
  23. Blake LeBaron, 1999. "Evolution and Time Horizons in an Agent-Based Stock Market," Computing in Economics and Finance 1999 1342, Society for Computational Economics.
  24. Dietrich Stauffer, 2001. "Percolation Models Of Financial Market Dynamics," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 19-27.
  25. Chen, Shu-Heng & Yeh, Chia-Hsuan, 2001. "Evolving traders and the business school with genetic programming: A new architecture of the agent-based artificial stock market," Journal of Economic Dynamics and Control, Elsevier, vol. 25(3-4), pages 363-393, March.
  26. Lux, Thomas & Schornstein, Sascha, 2003. "Genetic learning as an explanation of stylized facts of foreign exchange markets," Economics Working Papers 2003-12, Christian-Albrechts-University of Kiel, Department of Economics.
  27. LeBaron, Blake & Arthur, W. Brian & Palmer, Richard, 1999. "Time series properties of an artificial stock market," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1487-1516, September.
  28. Gaunersdorfer, Andrea, 2000. "Endogenous fluctuations in a simple asset pricing model with heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 799-831, June.
  29. Takayasu, Hideki & Miura, Hitoshi & Hirabayashi, Tadashi & Hamada, Koichi, 1992. "Statistical properties of deterministic threshold elements — the case of market price," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 184(1), pages 127-134.
  30. Zhi-Feng Huang, Sorin Solomon*, 2001. "Power, Levy, Exponential and Gaussian Regimes in Autocatalytic Financial Systems," Computing in Economics and Finance 2001 12, Society for Computational Economics.
  31. Giulia Iori, 2000. "A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions," Finance 0004007, EconWPA.
  32. Sorin Solomon & Peter Richmond, 2001. "Power Laws of Wealth, Market Order Volumes and Market Returns," Papers cond-mat/0102423, arXiv.org, revised Apr 2001.
  33. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
  34. Weisbuch, Gérard & Stauffer, Dietrich, 2000. "Hits and flops dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 563-576.
  35. Stauffer, Dietrich & P. Radomski, Jan, 2001. "Scaling in the Donangelo-Sneppen model for evolution of money," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 291(1), pages 583-586.
  36. Kullmann, L. & Kertész, J., 2001. "Preferential growth: solution and application to modeling stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 121-126.
  37. Zoltan Eisler & Janos Kertesz, 2005. "Size matters: some stylized facts of the stock market revisited," Papers physics/0508156, arXiv.org, revised May 2006.
  38. Gudrun Ehrenstein, 2002. "Cont-Bouchaud percolation model including Tobin tax," Papers cond-mat/0205320, arXiv.org.
  39. Taisei Kaizoji, 2000. "Speculative bubbles and crashes in stock market: an interacting-agent model of speculative activity," Papers cond-mat/0010263, arXiv.org.
  40. Schwert, G William, 1990. "Stock Volatility and the Crash of '87," Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 77-102.
  41. Jack Ochs & John Duffy, 1999. "Emergence of Money as a Medium of Exchange: An Experimental Study," American Economic Review, American Economic Association, vol. 89(4), pages 847-877, September.
  42. Lobato, I.N. & Savin, N.E., 1996. "Real and Spurious Long Memory Properties of Stock Market Data," Working Papers 96-07, University of Iowa, Department of Economics.
  43. Basci, Erdem, 1999. "Learning by imitation," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1569-1585, September.
  44. Youssefmir, Michael & Huberman, Bernardo A & Hogg, Tad, 1998. "Bubbles and Market Crashes," Computational Economics, Springer;Society for Computational Economics, vol. 12(2), pages 97-114, October.
  45. da Silva, L.R & Stauffer, D, 2001. "Ising-correlated clusters in the Cont-Bouchaud stock market model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 294(1), pages 235-238.
  46. Donangelo, Raul & Hansen, Alex & Sneppen, Kim & Souza, Sergio R., 2000. "Modelling an imperfect market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 469-478.
  47. Proykova, Ana & Stauffer, Dietrich, 2002. "Social percolation and the influence of mass media," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 312(1), pages 300-304.
  48. Zhang, Yi-Cheng, 1999. "Toward a theory of marginally efficient markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 269(1), pages 30-44.
  49. de Fontnouvelle, Patrick, 2000. "Information Dynamics In Financial Markets," Macroeconomic Dynamics, Cambridge University Press, vol. 4(02), pages 139-169, June.
  50. Solomon, Sorin & Richmond, Peter, 2001. "Power laws of wealth, market order volumes and market returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 188-197.
  51. Louzoun, Yoram & Solomon, Sorin, 2001. "Volatility driven market in a generalized Lotka–Voltera formalism," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 302(1), pages 220-233.
  52. Bak, P. & Paczuski, M. & Shubik, M., 1997. "Price variations in a stock market with many agents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 246(3), pages 430-453.
  53. Cars Hommes, 2001. "Stochastic Consistent Expectations Equilibria," CeNDEF Workshop Papers, January 2001 PO1, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  54. E. Ahmed & H.A. Abdusalam, 2000. "On social percolation and small world network," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 16(3), pages 569-571, August.
  55. Solomon, Sorin & Weisbuch, Gerard & de Arcangelis, Lucilla & Jan, Naeem & Stauffer, Dietrich, 2000. "Social percolation models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 277(1), pages 239-247.
  56. Szymon Borak & Wolfgang Härdle & Rafal Weron, 2005. "Stable Distributions," SFB 649 Discussion Papers SFB649DP2005-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  57. Masanao Aoki, 2002. "Open Models of Share Markets with Two Dominant Types of Participants," UCLA Economics Online Papers 107, UCLA Department of Economics.
  58. Brock, W.A., 1995. "A Rational Route to Randomness," Working papers 9530, Wisconsin Madison - Social Systems.
  59. Anirban Chakraborti & Bikas K. Chakrabarti, 2000. "Statistical mechanics of money: How saving propensity affects its distribution," Papers cond-mat/0004256, arXiv.org, revised Jun 2000.
  60. Donangelo, R & Sneppen, K, 2000. "Self-organization of value and demand," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 276(3), pages 572-580.
  61. Castiglione, Filippo & Stauffer, Dietrich, 2001. "Multi-scaling in the Cont–Bouchaud microscopic stock market model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 300(3), pages 531-538.
  62. Jones, Robert A, 1976. "The Origin and Development of Media of Exchange," Journal of Political Economy, University of Chicago Press, vol. 84(4), pages 757-775, August.
  63. Zschischang, Elmar & Lux, Thomas, 2001. "Some new results on the Levy, Levy and Solomon microscopic stock market model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 291(1), pages 563-573.
  64. Maslov, Sergei, 2000. "Simple model of a limit order-driven market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 278(3), pages 571-578.
  65. Champernowne,D. G. & Cowell,F. A., 1999. "Economic Inequality and Income Distribution," Cambridge Books, Cambridge University Press, number 9780521580557, December.
  66. Cont, Rama & Bouchaud, Jean-Philipe, 2000. "Herd Behavior And Aggregate Fluctuations In Financial Markets," Macroeconomic Dynamics, Cambridge University Press, vol. 4(02), pages 170-196, June.
  67. Marimon, Ramon & McGrattan, Ellen & Sargent, Thomas J., 1990. "Money as a medium of exchange in an economy with artificially intelligent agents," Journal of Economic Dynamics and Control, Elsevier, vol. 14(2), pages 329-373, May.
  68. Weisbuch, Gérard & Stauffer, Dietrich, 2003. "Adjustment and social choice," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 323(C), pages 651-662.
  69. De Vany, Arthur & Lee, Cassey, 2001. "Quality signals in information cascades and the dynamics of the distribution of motion picture box office revenues," Journal of Economic Dynamics and Control, Elsevier, vol. 25(3-4), pages 593-614, March.
  70. Georges, Christophre, 2006. "Learning with misspecification in an artificial currency market," Journal of Economic Behavior & Organization, Elsevier, vol. 60(1), pages 70-84, May.
  71. Zeeman, E. C., 1974. "On the unstable behaviour of stock exchanges," Journal of Mathematical Economics, Elsevier, vol. 1(1), pages 39-49, March.
  72. Lobato, Ignacio N & Savin, N E, 1998. "Real and Spurious Long-Memory Properties of Stock-Market Data: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 280-283, July.
  73. Marco Raberto & Silvano Cincotti & Sergio M. Focardi & Michele Marchesi, 2001. "Agent-based simulation of a financial market," Papers cond-mat/0103600, arXiv.org, revised Mar 2001.
  74. giulia iori and Saqib Jafarey, 2001. "Interbank Lending, reserve requirements and systemic risk," Computing in Economics and Finance 2001 63, Society for Computational Economics.
  75. Chen, Shu-Heng & Yeh, Chia-Hsuan, 2002. "On the emergent properties of artificial stock markets: the efficient market hypothesis and the rational expectations hypothesis," Journal of Economic Behavior & Organization, Elsevier, vol. 49(2), pages 217-239, October.
  76. Simone Alfarano & Thomas Lux & Friedrich Wagner, 2005. "Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model," Computational Economics, Springer;Society for Computational Economics, vol. 26(1), pages 19-49, August.
  77. R. Donangelo & K. Sneppen, 1999. "Self-organization of value and demand," Papers cond-mat/9906298, arXiv.org, revised Apr 2000.
  78. Goldenberg, J & Libai, B & Solomon, S & Jan, N & Stauffer, D, 2000. "Marketing percolation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 284(1), pages 335-347.
  79. D. Heymann, R. P. J. Perazzo, & Andres Schuschny, . "Learning and Contagion Effects in Trasitions Between Regimes: A Schematic Model of Bank Runs," Computing in Economics and Finance 1997 17, Society for Computational Economics.
  80. Jean-Philippe Bouchaud & Marc Mezard, 2000. "Wealth condensation in a simple model of economy," Science & Finance (CFM) working paper archive 500026, Science & Finance, Capital Fund Management.
  81. Silver, Jonathan & Slud, Eric & Takamoto, Keiji, 2002. "Statistical Equilibrium Wealth Distributions in an Exchange Economy with Stochastic Preferences," Journal of Economic Theory, Elsevier, vol. 106(2), pages 417-435, October.
  82. Stauffer, Dietrich & Sornette, Didier, 1999. "Self-organized percolation model for stock market fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 271(3), pages 496-506.
  83. Arthur, W Brian, 1989. "Competing Technologies, Increasing Returns, and Lock-In by Historical Events," Economic Journal, Royal Economic Society, vol. 99(394), pages 116-31, March.
  84. Routledge, Bryan R., 2001. "Genetic Algorithm Learning To Choose And Use Information," Macroeconomic Dynamics, Cambridge University Press, vol. 5(02), pages 303-325, April.
  85. Zhi-Feng Huang & Sorin Solomon, 2001. "Stochastic Multiplicative Processes for Financial Markets," Papers cond-mat/0110273, arXiv.org.
  86. Levy, Moshe & Solomon, Sorin, 1997. "New evidence for the power-law distribution of wealth," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 242(1), pages 90-94.
  87. 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.
  88. Arifovic, Jasmina, 1996. "The Behavior of the Exchange Rate in the Genetic Algorithm and Experimental Economies," Journal of Political Economy, University of Chicago Press, vol. 104(3), pages 510-541, June.
  89. Chen, Shu-Heng & Lux, Thomas & Marchesi, Michele, 2001. "Testing for non-linear structure in an artificial financial market," Journal of Economic Behavior & Organization, Elsevier, vol. 46(3), pages 327-342, November.
  90. Lux, Thomas, 1995. "Herd Behaviour, Bubbles and Crashes," Economic Journal, Royal Economic Society, vol. 105(431), pages 881-96, July.
  91. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
  92. Huang, Zhi-Feng & Solomon, Sorin, 2002. "Stochastic multiplicative processes for financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 306(C), pages 412-422.
  93. Angle, John, 2006. "The Inequality Process as a wealth maximizing process," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 367(C), pages 388-414.
  94. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
  95. Levy, Moshe & Levy, Haim & Solomon, Sorin, 1994. "A microscopic model of the stock market : Cycles, booms, and crashes," Economics Letters, Elsevier, vol. 45(1), pages 103-111, May.
  96. De Vany, Arthur & Walls, W David, 1996. "Bose-Einstein Dynamics and Adaptive Contracting in the Motion Picture Industry," Economic Journal, Royal Economic Society, vol. 106(439), pages 1493-1514, November.
  97. Didier Sornette & Wei-Xing Zhou, 2002. "The US 2000-2002 market descent: How much longer and deeper?," Quantitative Finance, Taylor & Francis Journals, vol. 2(6), pages 468-481.
  98. Vasiliki Plerou & Parameswaran Gopikrishnan & Xavier Gabaix & H. Eugene Stanley, 2001. "Quantifying Stock Price Response to Demand Fluctuations," Papers cond-mat/0106657, arXiv.org.
  99. Bouchaud, Jean-Philippe & Mézard, Marc, 2000. "Wealth condensation in a simple model of economy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 282(3), pages 536-545.
  100. Huang, Zhi-Feng & Solomon, Sorin, 2001. "Finite market size as a source of extreme wealth inequality and market instability," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 294(3), pages 503-513.
  101. Ramsey, James B., 1996. "On the existence of macro variables and of macro relationships," Journal of Economic Behavior & Organization, Elsevier, vol. 30(3), pages 275-299, September.
  102. Iksoo Chang & Dietrich Stauffer, 2001. "Time-reversal asymmetry in Cont-Bouchaud stock market model," Papers cond-mat/0105573, arXiv.org.
  103. de Souza, AndréM.C. & Tsallis, Constantino, 1997. "Student's t- and r-distributions: Unified derivation from an entropic variational principle," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 236(1), pages 52-57.
  104. Adrian Dragulescu & Victor M. Yakovenko, 2000. "Statistical mechanics of money," Papers cond-mat/0001432, arXiv.org, revised Aug 2000.
  105. Abhijit V. Banerjee, 1992. "A Simple Model of Herd Behavior," The Quarterly Journal of Economics, Oxford University Press, vol. 107(3), pages 797-817.
  106. Youssefmir, Michael & Huberman, Bernardo A., 1997. "Clustered volatility in multiagent dynamics," Journal of Economic Behavior & Organization, Elsevier, vol. 32(1), pages 101-118, January.
  107. Bonabeau, Eric & Theraulaz, Guy & Deneubourg, Jean-Louis, 1995. "Phase diagram of a model of self-organizing hierarchies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 217(3), pages 373-392.
  108. Rui Carvalho, 2001. "The Dynamics of the Linear Random Farmer Model," Papers cond-mat/0107150, arXiv.org.
  109. Alan Kirman, 1993. "Ants, Rationality, and Recruitment," The Quarterly Journal of Economics, Oxford University Press, vol. 108(1), pages 137-156.
  110. Routledge, Bryan R, 1999. "Adaptive Learning in Financial Markets," Review of Financial Studies, Society for Financial Studies, vol. 12(5), pages 1165-1202.
  111. Beja, Avraham & Goldman, M Barry, 1980. " On the Dynamic Behavior of Prices in Disequilibrium," Journal of Finance, American Finance Association, vol. 35(2), pages 235-248, May.
  112. D. Sornette & W. -X. Zhou, 2002. "The US 2000-2002 Market Descent: How Much Longer and Deeper?," Papers cond-mat/0209065, arXiv.org.
  113. Lux, Thomas, 1997. "Time variation of second moments from a noise trader/infection model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(1), pages 1-38, November.
  114. Vandewalle, N. & Ausloos, M., 1997. "Coherent and random sequences in financial fluctuations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 246(3), pages 454-459.
  115. A. Chakraborti & B.K. Chakrabarti, 2000. "Statistical mechanics of money: how saving propensity affects its distribution," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 17(1), pages 167-170, September.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:arx:papers:physics/0701140. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.