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  • Search: subject:"Instability artifact"
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Year of publication
Subject
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Agent-based modeling 2 Agentenbasierte Modellierung 2 Heterogeneous agents 2 Implicit Euler scheme 2 Instability artifact 2 Market maker model 2 Stiff equation 2 Theorie 2 Theory 2 Chartists,Stiff Equation 1 Fundamentalists 1 Heterogeneous Agents 1 Implicit Euler Scheme 1 Instability Artifact 1 Market Maker Model 1 Market structure 1 Marktstruktur 1
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Online availability
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Free 3
Type of publication
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Article 2 Book / Working Paper 1
Type of publication (narrower categories)
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Article 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1
Language
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English 3
Author
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Baumann, Michaela 3 Grüne, Lars 3 Herz, Bernhard 3 Baumann, Michael 2 Baumann, Michael Heinrich 1
Published in...
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Computational Economics 1 Computational economics 1
Source
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ECONIS (ZBW) 2 EconStor 1
Showing 1 - 3 of 3
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Market structure and instability artifacts in heterogeneous agent models : lessons from implicit discretizations of stiff equations
Baumann, Michael; Baumann, Michaela; Grüne, Lars; … - In: Computational economics 62 (2023) 3, pp. 855-890
Persistent link: https://www.econbiz.de/10014382842
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Market Structure and Instability Artifacts in Heterogeneous Agent Models: Lessons from Implicit Discretizations of Stiff Equations
Baumann, Michael Heinrich; Baumann, Michaela; Grüne, Lars - In: Computational Economics 62 (2022) 3, pp. 855-890
We consider a standard heterogeneous agent model (HAM) that is widely used to analyze price developments in financial markets. The model is linear in log-prices and, in its basic setting, populated by fundamentalists and chartists. As the number of fundamentalists increases and exceeds a...
Persistent link: https://www.econbiz.de/10015081209
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Improving heterogeneous agent models by avoiding explicit discretizations of stiff equations
Baumann, Michael; Baumann, Michaela; Grüne, Lars; … - 2020
Persistent link: https://www.econbiz.de/10012229806
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