Endogenous versus exogenous origins of financial rallies and crashes in an agent-based model with Bayesian learning and imitation
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Cited by:
- Ichiki, Shingo & Nishinari, Katsuhiro, 2015. "Simple stochastic order-book model of swarm behavior in continuous double auction," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 420(C), pages 304-314.
- Shingo Ichiki & Katsuhiro Nishinari, 2014. "Simple Stochastic Order-Book Model of Swarm Behavior in Continuous Double Auction," Papers 1411.2215, arXiv.org.
- Jun-ichi Maskawa, 2016. "Collective Behavior of Market Participants during Abrupt Stock Price Changes," PLOS ONE, Public Library of Science, vol. 11(8), pages 1-18, August.
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Keywords
stock market; crash; rallies; bubble; herding; news;All these keywords.
JEL classification:
- C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
- G19 - Financial Economics - - General Financial Markets - - - Other
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