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Open Models of Share Markets with Two Dominant Types of Participants

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  • Masanao Aoki

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  • Masanao Aoki, 2002. "Open Models of Share Markets with Two Dominant Types of Participants," UCLA Economics Online Papers 107, UCLA Department of Economics.
  • Handle: RePEc:cla:uclaol:107
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    References listed on IDEAS

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    1. Day, Richard H. & Huang, Weihong, 1990. "Bulls, bears and market sheep," Journal of Economic Behavior & Organization, Elsevier, vol. 14(3), pages 299-329, December.
    2. 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.
    3. Aoki, Masanao & Shirai, Yoshimasa, 2000. "A New Look At The Diamond Search Model: Stochastic Cycles And Equilibrium Selection In Search Equilibrium," Macroeconomic Dynamics, Cambridge University Press, vol. 4(04), pages 487-505, December.
    4. Masanao Aoki, 2001. "Modeling Aggregate Behavior and Fluctuations in Economics: Stochastic Views of Interacting Agents," UCLA Economics Online Papers 142, UCLA Department of Economics.
    5. Parameswaran Gopikrishnan & Martin Meyer & Luis A Nunes Amaral & H Eugene Stanley, 1998. "Inverse Cubic Law for the Probability Distribution of Stock Price Variations," Papers cond-mat/9803374, arXiv.org, revised May 1998.
    6. P. Gopikrishnan & M. Meyer & L.A.N. Amaral & H.E. Stanley, 1998. "Inverse cubic law for the distribution of stock price variations," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 3(2), pages 139-140, July.
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    Cited by:

    1. Aoki, Masanao, 2008. "Thermodynamic limits of macroeconomic or financial models: One- and two-parameter Poisson-Dirichlet models," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 66-84, January.
    2. AOKI Masanao & YOSHIKAWA Hiroshi, 2007. "Non-Self-Averaging in Macroeconomic Models: A Criticism of Modern Micro-founded Macroeconomics," Discussion papers 07057, Research Institute of Economy, Trade and Industry (RIETI).
    3. repec:eee:dyncon:v:80:y:2017:i:c:p:101-124 is not listed on IDEAS
    4. Hommes, Cars & in ’t Veld, Daan, 2017. "Booms, busts and behavioural heterogeneity in stock prices," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 101-124.
    5. Aoki, Masanao & Yoshikawa, Hiroshi, 2009. "The nature of equilibrium in macroeconomics: A critique of equilibrium search theory," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 3, pages 1-9.
    6. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2007. "Agent-based Models of Financial Markets," Papers physics/0701140, arXiv.org.
    7. E. Samanidou & E. Zschischang & D. Stauffer & Thomas Lux, 2006. "Microscopic Models of Financial Markets," Working Papers wpn06-03, Warwick Business School, Finance Group.
    8. Daniel Fricke & Thomas Lux, 2015. "The effects of a financial transaction tax in an artificial financial market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 10(1), pages 119-150, April.
    9. Brock, William A. & Hommes, Cars H. & Wagener, Florian O. O., 2005. "Evolutionary dynamics in markets with many trader types," Journal of Mathematical Economics, Elsevier, pages 7-42.
    10. Masanao Aoki, 2005. "Cluster Size Distributions of Heterogeneous Economic Agents: Are there non-self-averaging phenomena in economics?," CIRJE F-Series CIRJE-F-388, CIRJE, Faculty of Economics, University of Tokyo.
    11. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2001. "Microscopic Models of Financial Markets," Papers cond-mat/0110354, arXiv.org.
    12. Masanao Aoki & Hiroshi Yoshikawa, 2012. "Non-self-averaging in macroeconomic models: a criticism of modern micro-founded macroeconomics," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 7(1), pages 1-22, May.
    13. Andreas Krause, 2000. "Microstructure Effects on Daily Return Volatility in Financial Markets," Papers cond-mat/0011295, arXiv.org.

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