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Artificial long memory effects in two agent-based asset pricing models

Franke, Reiner - 2008

long memory completely disappears. -- Volatility clustering ; Autocorrelations of returns ; Fundamentalists and …

Persistent link: https://www.econbiz.de/10003738658

Asset return dynamics under alternative learning schemes

Catanese, Elena; Consiglio, Andrea; Lacagnina, Valerio; … - In: Artificial economics : the generative method in …, (pp. 211-222). 2009

Persistent link: https://www.econbiz.de/10003889507

Using an artificial financial market for studying a cryptocurrency market

Cocco, Luisanna; Concas, Giulio; Marchesi, Michele - In: Journal of economic interaction and coordination : JEIC 12 (2017) 2, pp. 345-365

Persistent link: https://www.econbiz.de/10011878670

Agent-based simulation of an artificial financial market : effect of short selling on market stability

Bensaid, Khalid; Aboulaich, Rajae - In: Journal of world economic review 15 (2020) 2, pp. 135-144

Persistent link: https://www.econbiz.de/10012631186

The Genoa artificial stock market : microstructure and simulations

Marchesi, M. (contributor) - In: Heterogenous agents, interactions and economic performance, (pp. 277-289). 2003

Persistent link: https://www.econbiz.de/10001750269

The microeconomic foundations of instability in financial markets

Kirman, Alan P. - In: Long memory in economics : with 50 tables, (pp. 311-344). 2006

Persistent link: https://www.econbiz.de/10003375653

A minimal noise trader model with realistic time series properties

Alfarano, Simone (contributor); Lux, Thomas (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001781210

A minimal noise trader model with realistic time series properties

Alfarano, Simone; Lux, Thomas - In: Long memory in economics : with 50 tables, (pp. 345-361). 2006

Persistent link: https://www.econbiz.de/10003357267

A minimal noise trader model with realistic time series properties

Alfarano, Simone (contributor); Lux, Thomas (contributor) - 2006

Simulations of agent-based models have shown that the stylized facts (unit-root, fat tails and volatility clustering … phenomenological volatility models analyzed in LeBaron [25], the usual statistical tests are not able to distinguish between true or …

Persistent link: https://www.econbiz.de/10003392142

Discovering traders' heterogeneous behavior in high-frequency financial data

Huang, Ya-Chi; Tsao, Chueh-Yung - In: Computational economics 51 (2018) 4, pp. 821-846

Persistent link: https://www.econbiz.de/10011971267