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  • Search: subject:"Agent-based financial modelling"
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Year of publication
Subject
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artificial stock market 2 complex dynamical system 2 reinforcement learning 2 Agent-based financial modelling 1 agent heterogeneity 1 agent-based financial modelling 1 emergent properties 1 market efficiency 1 market efficiency agent heterogeneity 1
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Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Language
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English 2
Author
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Ramanauskas, Tomas 2 Rutkauskas, Aleksandras Vytautas 1
Institution
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Lietuvos Bankas 2
Published in...
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Bank of Lithuania Working Paper Series 2
Source
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RePEc 2
Showing 1 - 2 of 2
Cover Image
Agent-Based Financial Modelling: A Promising Alternative to the Standard Representative-Agent Approach
Ramanauskas, Tomas - Lietuvos Bankas - 2009
In this paper we provide a brief introduction to the literature on agent-based financial modelling and, more … pros and cons of agent-based financial modelling as opposed to the standard representative-agent approach. We advocate the …
Persistent link: https://www.econbiz.de/10005827652
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Cover Image
Building an Artificial Stock Market Populated by Reinforcement-Learning Agents
Ramanauskas, Tomas; Rutkauskas, Aleksandras Vytautas - Lietuvos Bankas - 2009
In this paper we propose an artificial stock market model based on interaction of heterogeneous agents whose forward-looking behaviour is driven by the reinforcement learning algorithm combined with some evolutionary selection mechanism. We use the model for the analysis of market...
Persistent link: https://www.econbiz.de/10005049637
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