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Heterogeneous speculators and stock market dynamics : a simple agent-based computational model

Schmitt, Noemi; Schwartz, Ivonne; Westerhoff, Frank H. - In: The European journal of finance 28 (2022) 13/15, pp. 1263-1282

Persistent link: https://www.econbiz.de/10013532181

Microstructures of correlated financial markets

Wang, Shanshan - 2017

Persistent link: https://www.econbiz.de/10012802611

Heterogeneous speculators and stock market dynamics : a simple agent-based computational model

Schmitt, Noemi; Schwartz, Ivonne; Westerhoff, Frank H. - 2020

We propose a simple agent-based computational model in which speculators' trading behavior may cause bubbles and crashes, excess volatility, serially uncorrelated returns, fat-tailed return distributions and volatility clustering, thereby replicating five important stylized facts of stock...

Persistent link: https://www.econbiz.de/10012257370

Empirical science of financial fluctuations : the advent of econophysics [proceedings of a workshop hosted by the Nihon Keizai Shimbun, Inc., and held in Tokyo, Nov. 15-17, 2000]

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The application of econophysics : proceedings of the Second Nikkei Econophysics Symposium

Takayasu, Hideki (ed.) - 2004

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The Evolution of Complex Systems Theory and the Advancement of Econophysics Methods in the Study of Stock Markets Crashes

Joe, Ho Yew - 2017

cross-disciplines, particularly from the econophysics have banded together to consolidate and diffuse the application of the … complex systems theory in the economics and further discusses the methodological contribution of the econophysics in the area … of stock market. To date, the complex systems theory and the methodologies from the econophysics are well-established as …

Persistent link: https://www.econbiz.de/10012966774