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Financial Market Design by an Agent-Based Model

Mizuta, Takanobu; Yagi, Isao - 2025

Part 1. Importance and Model -- Chapter 1. Financial Market Design and Agent-Based Model -- Chapter 2. Base Model for Financial Market Design -- Part 2. Cases -- Chapter 3. Regulations/Rules -- Chapter 4. AI Traders/High Frequency Trades -- Chapter 5. New Financial Exchanges for High-Speed Era...

Persistent link: https://www.econbiz.de/10015206761

Characteristics of the Polish stock market correlations

Gałązka, Marek - In: International review of financial analysis 20 (2011) 1, pp. 1-5

Persistent link: https://www.econbiz.de/10009295932

Financial stability through the lens of complex systems

Hałaj, Grzegorz; Martinez-Jaramillo, Serafin; … - In: Journal of financial stability 71 (2024), pp. 1-7

Persistent link: https://www.econbiz.de/10014533528

Trend followers, contrarians and fundamentalists : explaining the dynamics of financial markets

Schmitt, Noemi; Westerhoff, Frank H. - 2019

We propose an empirically motivated financial market model in which speculators rely on trend-following, contrarian and fundamental trading rules to determine their orders. Speculators' probabilistic rule-selection behavior - the only type of randomness in our model - depends on past and future...

Persistent link: https://www.econbiz.de/10012014573

Micro-foundation using percolation theory of the finite-time singular behavior of the crash hazard rate in a class of rational expectation bubbles

Seyrich, Maximilian; Sornette, Didier - 2016

crash hazard rate in the Johansen-Ledoit-Sornette model of rational expectation bubbles. The model is based on a percolation … crash. This provides a formula to estimate the crash hazard rate by summation over percolation clusters above a minimum size … of a power $s^a$ (with $a>1$) of the cluster sizes $s$, similarly to a generalized percolation susceptibility.The power …

Persistent link: https://www.econbiz.de/10011514360

Agents' heterogeneity, aggregation, and economic fluctuations

Delli Gatti, Domenico; Gallegati, Mauro; Palestrini, Antonio - In: Interaction and market structure : essays on …, (pp. 133-149). 2000

Persistent link: https://www.econbiz.de/10001487961

Heterogeneity, aggregation and capital market imperfection

Delli Gatti, Domenico; Gallegati, Mauro - In: Cycles, growth and structural change : theories and …, (pp. 229-265). 2001

Persistent link: https://www.econbiz.de/10001614296

Endogenous cycles in competitive models : an overview

Reichlin, Pietro (contributor) - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 1 (1996) 4, pp. 175-185

Persistent link: https://www.econbiz.de/10001769648

On nonlinear, stochastic dynamics in economic and financial time series

Schittenkopf, Christian (contributor); … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 4 (2000) 3, pp. 101-121

Persistent link: https://www.econbiz.de/10001773121

Financial markets as a complex system : a short time scale perspective

Marschinski, Robert; Matassini, Lorenzo - 2001

Persistent link: https://www.econbiz.de/10001629899