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Econophysics Review : II. Agent-based models

Citations

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Cited by:

  1. Salvador Pueyo, 2013. "Is it a power law distribution? The case of economic contractions," Papers 1310.2567, arXiv.org.
  2. repec:hal:wpaper:hal-00777941 is not listed on IDEAS
  3. Ban Zheng & François Roueff & Frédéric Abergel, 2014. "Ergodicity and scaling limit of a constrained multivariate Hawkes process," Post-Print hal-00777941, HAL.
  4. Fei Cao & Sebastien Motsch, 2021. "Derivation of wealth distributions from biased exchange of money," Papers 2105.07341, arXiv.org.
  5. Misha Perepelitsa & Ilya Timofeyev, 2022. "Self-sustained price bubbles driven by digital currency innovations and adaptive market behavior," SN Business & Economics, Springer, vol. 2(3), pages 1-15, March.
  6. Martin Šmíd, 2016. "Estimation of zero-intelligence models by L1 data," Quantitative Finance, Taylor & Francis Journals, vol. 16(9), pages 1423-1444, September.
  7. Pierre Gosselin & Aïleen Lotz & Marc Wambst, 2020. "A path integral approach to business cycle models with large number of agents," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(4), pages 899-942, October.
  8. Yadh Hafsi & Edoardo Vittori, 2024. "Optimal Execution with Reinforcement Learning," Papers 2411.06389, arXiv.org.
  9. Andrea Monaco & Matteo Ghio & Adamaria Perrotta, 2024. "Wealth dynamics in a multi-aggregate closed monetary system," Papers 2401.09871, arXiv.org.
  10. Gao-Feng Gu & Xiong Xiong & Hai-Chuan Xu & Wei Zhang & Yongjie Zhang & Wei Chen & Wei-Xing Zhou, 2021. "An empirical behavioral order-driven model with price limit rules," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-24, December.
  11. Salvador Pueyo, 2014. "Ecological Econophysics for Degrowth," Sustainability, MDPI, vol. 6(6), pages 1-53, May.
  12. Dias, Thiago & Gonçalves, Sebastián, 2024. "Effectiveness of wealth-based vs exchange-based tax systems in reducing inequality," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 641(C).
  13. Christoph J. Borner & Ingo Hoffmann & John H. Stiebel, 2024. "A closer look at the chemical potential of an ideal agent system," Papers 2401.09233, arXiv.org.
  14. Kiran Sharma & Subhradeep Das & Anirban Chakraborti, 2017. "Global Income Inequality and Savings: A Data Science Perspective," Papers 1801.00253, arXiv.org, revised Aug 2018.
  15. Iori, G. & Porter, J., 2012. "Agent-Based Modelling for Financial Markets," Working Papers 12/08, Department of Economics, City University London.
  16. Inoua, Sabiou M. & Smith, Vernon L., 2023. "A classical model of speculative asset price dynamics," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
  17. Pierre Gosselin & Aïleen Lotz & Marc Wambst, 2021. "A statistical field approach to capital accumulation," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 16(4), pages 817-908, October.
  18. Nikolaos Th. Chatzarakis, 2021. "Revisiting the role and consequences of Econophysics from a Marxian perspective," Bulletin of Political Economy, Bulletin of Political Economy, vol. 15(1), pages 45-68, June.
  19. Anirban Chakraborti & Hrishidev & Kiran Sharma & Hirdesh K. Pharasi, 2019. "Phase separation and scaling in correlation structures of financial markets," Papers 1910.06242, arXiv.org, revised Jul 2020.
  20. Pharasi, Hirdesh K. & Seligman, Eduard & Sadhukhan, Suchetana & Majari, Parisa & Seligman, Thomas H., 2024. "Dynamics of market states and risk assessment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 633(C).
  21. Zhang, Jiu & Jin, Li-Fu & Zheng, Bo & Li, Yan & Jiang, Xiong-Fei, 2022. "Simplified calculations of time correlation functions in non-stationary complex financial systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 589(C).
  22. Pietro DeLellis & Anna DiMeglio & Franco Garofalo & Francesco Lo Iudice, 2017. "The evolving cobweb of relations among partially rational investors," PLOS ONE, Public Library of Science, vol. 12(2), pages 1-21, February.
  23. Fernandes, Leonardo H.S. & Silva, José W.L. & de Araujo, Fernando H.A., 2022. "Multifractal risk measures by Macroeconophysics perspective: The case of Brazilian inflation dynamics," Chaos, Solitons & Fractals, Elsevier, vol. 158(C).
  24. Pierre Gosselin & Aïleen Lotz & Marc Wambst, 2017. "A Path Integral Approach to Interacting Economic Systems with Multiple Heterogeneous Agents," Working Papers hal-01549586, HAL.
  25. Victor Olkhov, 2019. "Financial Variables, Market Transactions, and Expectations as Functions of Risk," IJFS, MDPI, vol. 7(4), pages 1-27, November.
  26. Robin Nicole & Peter Sollich, 2017. "Dynamical selection of Nash equilibria using Experience Weighted Attraction Learning: emergence of heterogeneous mixed equilibria," Papers 1706.09763, arXiv.org.
  27. Ignacio Ormazábal & F. A. Borotto & H. F. Astudillo, 2017. "Influence of Money Distribution on Civil Violence Model," Complexity, Hindawi, vol. 2017, pages 1-15, November.
  28. Pierre Gosselin & Aïleen Lotz & Marc Wambst, 2018. "A Path Integral Approach to Business Cycle Models with Large Number of Agents," Working Papers hal-01893556, HAL.
  29. Luisanna Cocco & Michele Marchesi, 2016. "Modeling and Simulation of the Economics of Mining in the Bitcoin Market," PLOS ONE, Public Library of Science, vol. 11(10), pages 1-31, October.
  30. Ivan Jericevich & Patrick Chang & Tim Gebbie, 2021. "Simulation and estimation of an agent-based market-model with a matching engine," Papers 2108.07806, arXiv.org, revised Aug 2021.
  31. Pierre Gosselin & Aïleen Lotz & Marc Wambst, 2019. "A Statistical Field Approach to Capital Accumulation," Working Papers hal-02280634, HAL.
  32. Buda, Andrzej & Kwapień, Jarosław, 2022. "Agent-based modelling of the global phonographic market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 598(C).
  33. Misha Perepelitsa, 2021. "Psychological dimension of adaptive trading in cryptocurrency markets," Papers 2109.12166, arXiv.org.
  34. Takanobu Mizuta & Isao Yagi, 2023. "Comparing effects of price limit and circuit breaker in stock exchanges by an agent-based model," Papers 2309.10220, arXiv.org.
  35. Misha Perepelitsa, 2021. "Investing in crypto: speculative bubbles and cyclic stochastic price pumps," Papers 2111.11315, arXiv.org, revised Oct 2022.
  36. Adão, Luiz F.S. & Silveira, Douglas & Ely, Regis A. & Cajueiro, Daniel O., 2022. "The impacts of interest rates on banks’ loan portfolio risk-taking," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
  37. Andrew W. Macpherson, 2023. "Adversarial blockchain queues and trading on a CFMM," Papers 2302.01663, arXiv.org, revised Feb 2023.
  38. Anirban Chakraborti & Dhruv Raina & Kiran Sharma, 2016. "Can an interdisciplinary field contribute to one of the parent disciplines from which it emerged?," Papers 1605.08354, arXiv.org.
  39. Jean-Philippe Bouchaud, 2012. "Crises and collective socio-economic phenomena: simple models and challenges," Papers 1209.0453, arXiv.org, revised Dec 2012.
  40. Konark Jain & Nick Firoozye & Jonathan Kochems & Philip Treleaven, 2024. "Limit Order Book Simulations: A Review," Papers 2402.17359, arXiv.org, revised Mar 2024.
  41. Monaco, Andrea & Ghio, Matteo & Perrotta, Adamaria, 2024. "Wealth dynamics in a multi-aggregate closed monetary system," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 646(C).
  42. Ban Zheng & Franc{c}ois Roueff & Fr'ed'eric Abergel, 2013. "Ergodicity and scaling limit of a constrained multivariate Hawkes process," Papers 1301.5007, arXiv.org, revised Feb 2014.
  43. Tilfani, Oussama & Kristoufek, Ladislav & Ferreira, Paulo & El Boukfaoui, My Youssef, 2022. "Heterogeneity in economic relationships: Scale dependence through the multivariate fractal regression," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 588(C).
  44. Hong Guo & Jianwu Lin & Fanlin Huang, 2023. "Market Making with Deep Reinforcement Learning from Limit Order Books," Papers 2305.15821, arXiv.org.
  45. Alaminos, David & Salas-Compás, M. Belén & Fernández-Gámez, Manuel Á., 2024. "Can Bitcoin trigger speculative pressures on the US Dollar? A novel ARIMA-EGARCH-Wavelet Neural Networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 654(C).
  46. Anshul Verma & Riccardo Junior Buonocore & Tiziana di Matteo, 2017. "A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering," Papers 1712.02138, arXiv.org, revised May 2018.
  47. Upadhyay, Shashankaditya & Mukherjee, Indranil & Panigrahi, Prasanta K., 2023. "Inner composition alignment networks reveal financial impacts of COVID-19," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 609(C).
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