An agent-based model of stock markets incorporating momentum investors
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DOI: 10.1016/j.physa.2013.02.011
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- Yang, G. & Chen, Y. & Huang, J.P., 2016. "The highly intelligent virtual agents for modeling financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 443(C), pages 98-108.
- Huishu Zhang & Jianrong Wei & Jiping Huang, 2014. "Scaling and Predictability in Stock Markets: A Comparative Study," PLOS ONE, Public Library of Science, vol. 9(3), pages 1-5, March.
- Ducha, F.A. & Atman, A.P.F. & Bosco de Magalhães, A.R., 2021. "Information flux in complex networks: Path to stylized facts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
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- Jiahua Wang & Hongliang Zhu & Dongxin Li, 2018. "Price Dynamics in an Order-Driven Market with Bayesian Learning," Complexity, Hindawi, vol. 2018, pages 1-15, November.
- Bàrbara Llacay & Gilbert Peffer, 2018. "Using realistic trading strategies in an agent-based stock market model," Computational and Mathematical Organization Theory, Springer, vol. 24(3), pages 308-350, September.
- Вороновицкий М.М., 2015. "Агент-Ориентированная Модель Замкнутого Однотоварного Рынка При Рациональном Предпочтении Участников," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 51(3), pages 64-80, июль.
- Thiago Christiano Silva & Benjamin Miranda Tabak & Idamar Magalhães Ferreira, 2019. "Modeling Investor Behavior Using Machine Learning: Mean-Reversion and Momentum Trading Strategies," Complexity, Hindawi, vol. 2019, pages 1-14, December.
- Nimrod Serok & Efrat Blumenfeld-Lieberthal, 2015. "A Simulation Model for Intra-Urban Movements," PLOS ONE, Public Library of Science, vol. 10(7), pages 1-15, July.
- Li, Da-Ye & Nishimura, Yusaku & Men, Ming, 2014. "Fractal markets: Liquidity and investors on different time horizons," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 407(C), pages 144-151.
- Papathanasiou, Spyros & Dokas, Ioannis & Koutsokostas, Drosos, 2022. "Value investing versus other investment strategies: A volatility spillover approach and portfolio hedging strategies for investors," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
- Zhong, Li-Xin & Xu, Wen-Juan & Chen, Rong-Da & Zhong, Chen-Yang & Qiu, Tian & Ren, Fei & He, Yun-Xing, 2018. "Self-reinforcing feedback loop in financial markets with coupling of market impact and momentum traders," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 493(C), pages 301-310.
- Hui, Eddie C.M. & Chen, Jia & Chan, Ka Kwan Kevin, 2019. "House Hedging Model — which income group is more affected by risk?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 529(C), pages 1-1.
- Fonseca, Carla L.G. & de Resende, Charlene C. & Fernandes, Danilo H.C. & Cardoso, Rodrigo T.N. & de Magalhães, A.R. Bosco, 2021. "Is the choice of the candlestick dimension relevant in econophysics?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 582(C).
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