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Evolution And Time Horizons In An Agent-Based Stock Market

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  1. repec:jaf:journl:v:13:y:2022:i:1:n:398 is not listed on IDEAS
  2. Yamamoto, Ryuichi, 2019. "Dynamic Predictor Selection And Order Splitting In A Limit Order Market," Macroeconomic Dynamics, Cambridge University Press, vol. 23(5), pages 1757-1792, July.
  3. Shu-Heng Chen & Chung-Chih Liao & Pei-Jung Chou, 2008. "On the plausibility of sunspot equilibria," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 3(1), pages 25-41, June.
  4. Palczewski, Jan & Schenk-Hoppé, Klaus Reiner & Wang, Tongya, 2016. "Itchy feet vs cool heads: Flow of funds in an agent-based financial market," Journal of Economic Dynamics and Control, Elsevier, vol. 63(C), pages 53-68.
  5. Raquel Almeida Ramos & Federico Bassi & Dany Lang, 2020. "Bet against the trend and cash in profits," DISCE - Working Papers del Dipartimento di Economia e Finanza def090, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
  6. Diks, Cees & van der Weide, Roy, 2005. "Herding, a-synchronous updating and heterogeneity in memory in a CBS," Journal of Economic Dynamics and Control, Elsevier, vol. 29(4), pages 741-763, April.
  7. Mikhail Anufriev & Giulio Bottazzi, 2004. "Asset Pricing Model with Heterogeneous Investment Horizons," LEM Papers Series 2004/22, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  8. LeBaron, Blake, 2006. "Agent-based Computational Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 24, pages 1187-1233, Elsevier.
  9. Federico Bassi & Raquel Ramos & Dany Lang, 2023. "Bet against the trend and cash in profits: An agent-based model of endogenous fluctuations of exchange rates," Journal of Evolutionary Economics, Springer, vol. 33(2), pages 429-472, April.
  10. Szymon Chudziak, 2025. "Studying economic complexity with agent-based models: advances, challenges and future perspectives," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 20(2), pages 413-449, April.
  11. Xing Gao & Daniel Ladley, 2022. "Noise trading and market stability," The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1283-1301, October.
  12. Hommes, Cars & Kiseleva, Tatiana & Kuznetsov, Yuri & Verbic, Miroslav, 2012. "Is More Memory In Evolutionary Selection (De)Stabilizing?," Macroeconomic Dynamics, Cambridge University Press, vol. 16(3), pages 335-357, June.
  13. Alexandre Subbotin, 2009. "Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 15(3), pages 94-138.
  14. Liu, Li & Pan, Zhiyuan, 2020. "Forecasting stock market volatility: The role of technical variables," Economic Modelling, Elsevier, vol. 84(C), pages 55-65.
  15. Kinda Hachem & Jing Cynthia Wu, 2017. "Inflation Announcements and Social Dynamics," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(8), pages 1673-1713, December.
  16. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2001. "Microscopic Models of Financial Markets," Papers cond-mat/0110354, arXiv.org.
  17. Blake LeBaron, 2011. "Active and Passive Learning in Agent-based Financial Markets," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 37(1), pages 35-43.
  18. Andreea B. Dragut, 2012. "Stock Data Clustering and Multiscale Trend Detection," Methodology and Computing in Applied Probability, Springer, vol. 14(1), pages 87-105, March.
  19. Xuan Zhou & Honggang Li, 2019. "Buying on Margin and Short Selling in an Artificial Double Auction Market," Computational Economics, Springer;Society for Computational Economics, vol. 54(4), pages 1473-1489, December.
  20. Amilon, Henrik, 2008. "Estimation of an adaptive stock market model with heterogeneous agents," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 342-362, March.
  21. Loretti I. Dobrescu & Mihaela Neamtu & Gabriela Mircea, 2016. "Asset Price Dynamics in a Chartist‐Fundamentalist Model with Time Delays: A Bifurcation Analysis," Discrete Dynamics in Nature and Society, John Wiley & Sons, vol. 2016(1).
  22. LeBaron, Blake, 2012. "Heterogeneous gain learning and the dynamics of asset prices," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 424-445.
  23. Shu-Heng Chen & Umberto Gostoli, 2017. "Coordination in the El Farol Bar problem: The role of social preferences and social networks," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(1), pages 59-93, April.
  24. Edoardo Gaffeo & Domenico Delli Gatti & Saul Desiderio & Mauro Gallegati, 2008. "Adaptive Microfoundations for Emergent Macroeconomics," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 34(4), pages 441-463.
  25. Ryuichi YAMAMOTO, 2005. "Evolution with Individual and Social Learning in an Agent-Based Stock Market," Computing in Economics and Finance 2005 228, Society for Computational Economics.
  26. Witte, Björn-Christopher, 2011. "Removing systematic patterns in returns in a financial market model by artificially intelligent traders," BERG Working Paper Series 82, Bamberg University, Bamberg Economic Research Group.
  27. Leonardo dos Santos Pinheiro & Flavio Codeco COelho, 2017. "An Agent-based Model of Contagion in Financial Networks," Papers 1703.07513, arXiv.org.
  28. Gaunersdorfer, Andrea & Hommes, Cars H. & Wagener, Florian O.O., 2008. "Bifurcation routes to volatility clustering under evolutionary learning," Journal of Economic Behavior & Organization, Elsevier, vol. 67(1), pages 27-47, July.
  29. Jasmina Hasanhodzic & Andrew Lo & Emanuele Viola, 2011. "A computational view of market efficiency," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 1043-1050.
  30. Brian Tivnan & Matthew Koehler & Matthew McMahon & Matthew Olson & Neal Rothleder & Rajani Shenoy, 2011. "Adding to the Regulator's Toolbox: Integration and Extension of Two Leading Market Models," Papers 1105.5439, arXiv.org.
  31. Ke-Hung Lai & Shu-Heng Chen & Ya-Chi Huang, 2005. "Bounded Rationality and the Elasticity Puzzle: What Can We Learn from the Agent-Based Computational Consumption Capital Asset Pricing Model?," Computing in Economics and Finance 2005 207, Society for Computational Economics.
  32. Shijia Song & Handong Li, 2025. "Improving Price Generation: A Novel Agent-Based Model for Capturing Persistent Jumps in Asset Prices," Computational Economics, Springer;Society for Computational Economics, vol. 66(1), pages 421-452, July.
  33. Dong-Jin Pyo, 2017. "A multi-factor model of heterogeneous traders in a dynamic stock market," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1416902-141, January.
  34. Monira Essa Aloud, 2016. "Profitability of Directional Change Based Trading Strategies: The Case of Saudi Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 6(1), pages 87-95.
  35. Benink, Harald A. & Gordillo, José Luis & Pardo, Juan Pablo & Stephens, Christopher R., 2010. "Market efficiency and learning in an artificial stock market: A perspective from Neo-Austrian economics," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 668-688, September.
  36. Ya-Chi Huang & Chueh-Yung Tsao, 2018. "Discovering Traders’ Heterogeneous Behavior in High-Frequency Financial Data," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 821-846, April.
  37. Westerhoff, Frank H., 2004. "Multiasset Market Dynamics," Macroeconomic Dynamics, Cambridge University Press, vol. 8(5), pages 596-616, November.
  38. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2007. "Agent-based Models of Financial Markets," Papers physics/0701140, arXiv.org.
  39. Brandt, M.W.Michael W. & Zeng, Qi & Zhang, Lu, 2004. "Equilibrium stock return dynamics under alternative rules of learning about hidden states," Journal of Economic Dynamics and Control, Elsevier, vol. 28(10), pages 1925-1954, September.
  40. Harald A. Benink & Jose Luis Gordillo & Juan Pablo Pardo & Christopher R. Stephens, 2004. "A Study of Neo-Austrian Economics using an Artificial Stock Market," Finance 0411038, University Library of Munich, Germany.
  41. repec:isu:genstf:201501010800005596 is not listed on IDEAS
  42. Robert Axtell, 2007. "What economic agents do: How cognition and interaction lead to emergence and complexity," The Review of Austrian Economics, Springer;Society for the Development of Austrian Economics, vol. 20(2), pages 105-122, September.
  43. Ya-Chi Huang & Chueh-Yung Tsao, 2018. "Evolutionary Frequency and Forecasting Accuracy: Simulations Based on an Agent-Based Artificial Stock Market," Computational Economics, Springer;Society for Computational Economics, vol. 52(1), pages 79-104, June.
  44. Diks, Cees & Hommes, Cars & Zeppini, Paolo, 2013. "More memory under evolutionary learning may lead to chaos," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 808-812.
  45. Georges, Christophre, 2008. "Staggered updating in an artificial financial market," Journal of Economic Dynamics and Control, Elsevier, vol. 32(9), pages 2809-2825, September.
  46. Agliari, Anna & Naimzada, Ahmad & Pecora, Nicolò, 2017. "Dynamic effects of memory in a cobweb model with competing technologies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 468(C), pages 340-350.
  47. Blake LeBaron & Ryuichi Yamamoto, 2008. "The Impact of Imitation on Long Memory in an Order-Driven Market," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 34(4), pages 504-517.
  48. Hens, Thorsten & Schenk-Hoppe, Klaus Reiner, 2006. "Markets do not select for a liquidity preference as behavior towards risk," Journal of Economic Dynamics and Control, Elsevier, vol. 30(2), pages 279-292, February.
  49. repec:hal:cepnwp:halshs-02956879 is not listed on IDEAS
  50. Blake LeBaron, 2010. "Heterogeneous Gain Learning and Long Swings in Asset Prices," Working Papers 10, Brandeis University, Department of Economics and International Business School.
  51. Rianne Duinen & Tatiana Filatova & Wander Jager & Anne Veen, 2016. "Going beyond perfect rationality: drought risk, economic choices and the influence of social networks," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 57(2), pages 335-369, November.
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