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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

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

Stochastic behavioral asset pricing models and the stylized facts

Lux, Thomas - 2008

High-frequency financial data are characterized by a set of ubiquitous statistical properties that prevail with surprising uniformity. While these 'stylized facts' have been well-known for decades, attempts at their behavioral explanation have remained scarce. However, recently a new branch of...

Persistent link: https://www.econbiz.de/10010273169

Patterns of speculation : a study in observational econophysics

Roehner, Bertrand M. - 2002 - 1. publ.

Persistent link: https://www.econbiz.de/10001632826

The Minsky moment as the revenge of entropy

Rosser, John Barkley - In: Macroeconomic dynamics 24 (2020) 1, pp. 7-23

Persistent link: https://www.econbiz.de/10012163564

Patterns of speculation : a study in observational econophysics

Roehner, Bertrand M. - 2002 - 1. publ.

Cover -- Half-title -- Title -- Copyright -- Contents -- Preface -- Part I Econophysics -- 1 Why econophysics? -- 1 … comparative analysis -- 2 The beginnings of econophysics -- 1 Pre-econophysics -- 1.1 Pre-econophysicists -- 1.1.1 Quételet (1796 ….2 Assessment of pre-econophysics -- 2 Institutional econophysics -- 2.1 Idiosyncrasies of economic journals -- 2.2 The beginnings …

Persistent link: https://www.econbiz.de/10012681273