Volatility clustering in agent based market models
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DOI: 10.1016/S0378-4371(02)01901-5
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Cited by:
- Cross, Rod & Grinfeld, Michael & Lamba, Harbir & Seaman, Tim, 2005. "A threshold model of investor psychology," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 354(C), pages 463-478.
- Daniel Fricke & Thomas Lux, 2015.
"The effects of a financial transaction tax in an artificial financial market,"
Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 10(1), pages 119-150, April.
- Fricke, Daniel & Lux, Thomas, 2013. "The effects of a financial transaction tax in an artificial financial market," Kiel Working Papers 1868, Kiel Institute for the World Economy (IfW Kiel).
- Ribin Lye & James Peng Lung Tan & Siew Ann Cheong, 2012. "Understanding agent-based models of financial markets: a bottom-up approach based on order parameters and phase diagrams," Papers 1202.0606, arXiv.org.
- Lye, Ribin & Tan, James Peng Lung & Cheong, Siew Ann, 2012. "Understanding agent-based models of financial markets: A bottom–up approach based on order parameters and phase diagrams," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5521-5531.
- Christopher D. Clack & Elias Court & Dmitrijs Zaparanuks, 2020. "Dynamic Coupling and Market Instability," Papers 2005.13621, arXiv.org.
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Keywords
Volatility clustering; Agent based models; Minority game;All these keywords.
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