Stylized facts from a threshold-based heterogeneous agent model
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DOI: 10.1140/epjb/e2007-00108-5
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- R. Cross & M. Grinfeld & H. Lamba & T. Seaman, 2006. "Stylized facts from a threshold-based heterogeneous agent model," Papers physics/0607290, arXiv.org.
References listed on IDEAS
- Chamley,Christophe P., 2004. "Rational Herds," Cambridge Books, Cambridge University Press, number 9780521530927, January.
- Chamley,Christophe P., 2004. "Rational Herds," Cambridge Books, Cambridge University Press, number 9780521824019, January.
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Cited by:
- 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.
- Simon Cramer & Torsten Trimborn, 2019. "Stylized Facts and Agent-Based Modeling," Papers 1912.02684, arXiv.org.
- Cristescu, C.P. & Stan, C. & Scarlat, E.I., 2009. "The dynamics of exchange rate time series and the chaos game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(23), pages 4845-4855.
- Lamba, H. & Seaman, T., 2008. "Rational expectations, psychology and inductive learning via moving thresholds," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(15), pages 3904-3909.
- Maximilian Beikirch & Simon Cramer & Martin Frank & Philipp Otte & Emma Pabich & Torsten Trimborn, 2018. "Simulation of Stylized Facts in Agent-Based Computational Economic Market Models," Papers 1812.02726, arXiv.org, revised Nov 2019.
- Torsten Trimborn & Martin Frank & Stephan Martin, 2017. "Mean Field Limit of a Behavioral Financial Market Model," Papers 1711.02573, arXiv.org.
- Maximilian Beikirch & Simon Cramer & Martin Frank & Philipp Otte & Emma Pabich & Torsten Trimborn, 2020. "Robust Mathematical Formulation And Probabilistic Description Of Agent-Based Computational Economic Market Models," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 23(06), pages 1-41, September.
- Torsten Trimborn & Philipp Otte & Simon Cramer & Maximilian Beikirch & Emma Pabich & Martin Frank, 2020. "SABCEMM: A Simulator for Agent-Based Computational Economic Market Models," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 707-744, February.
- Maximilian Beikirch & Simon Cramer & Martin Frank & Philipp Otte & Emma Pabich & Torsten Trimborn, 2019. "Robust Mathematical Formulation and Probabilistic Description of Agent-Based Computational Economic Market Models," Papers 1904.04951, arXiv.org, revised Mar 2021.
- Trimborn, Torsten & Frank, Martin & Martin, Stephan, 2018. "Mean field limit of a behavioral financial market model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 505(C), pages 613-631.
- Torsten Trimborn & Philipp Otte & Simon Cramer & Max Beikirch & Emma Pabich & Martin Frank, 2018. "SABCEMM-A Simulator for Agent-Based Computational Economic Market Models," Papers 1801.01811, arXiv.org, revised Oct 2018.
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Keywords
89.65.Gh Economics; econophysics; financial markets; business and management; 89.75.Da Systems obeying scaling laws;All these keywords.
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