Heterogeneity and feedback in an agent-based market model

Journal of Physics Condensed Matter

Volumn 17, Issue 14, 2005, Pages

  Ghoulmie, François ^a   Cont, Rama ^b   Nadal, Jean Pierre ^a  

^a ECOLE NORMALE SUPÉRIEURE   (France)

^b CENTRE DE MATHÉMATIQUES APPLIQUÉES   (France)

Author keywords

[No Author keywords available]

Indexed keywords

COMPUTER SIMULATION; CORRELATION METHODS; MATHEMATICAL MODELS; SPURIOUS SIGNAL NOISE; STRATEGIC PLANNING; TIME SERIES ANALYSIS;

AGENT-BASED MODEL; AUTOCORRELATIONS; ORDER FLOW; VOLTATILITY CLUSTERING;

FINANCE;

EID: 17044435383     PISSN: 09538984     EISSN: None     Source Type: Journal    
DOI: 10.1088/0953-8984/17/14/015     Document Type: Conference Paper

References (27)

1. Arthur W, Holland J, LeBaron B, Palmer J and Tayler P 1997 Asset pricing under endogeneous expectations in an artificial stock market The Economy as an Evolving Complex System vol 2, ed W Arthur, S Durlauf and D Lane (Reading, MA: Perseus Books) pp 15-44
2. Barndorff-Nielsen O E and Shephard N 2001 Non-Gaussian Ornstein-Uhlenbeck based models and some of their uses in financial econometrics J. R. Stat. Soc. B 63 167-241
3. Brock W and Hommes C 1998 Heterogeneous beliefs and route to chaos in a simple asset pricing model J. Econ. Dyn. Control 22 468-85
4. Challet D, Chessa A, Marsili M and Zhang Y 2001 From minority games to real markets Quant. Finance 1 168-76
5. Cont R 1998 Modeling economic randomness: statistical mechanics of market phenomena Statistical Physics in the 21st Century: The James B McGuire Festschrift ed M Batchelor and L Wille (Singapore: World Scientific)
6. Cont R 2001 Empirical properties of asset returns: stylized facts and statistical issues Quant. Finance 1 1-14
7. Cont R and Bouchaud J-P 2000 Herd behaviour and aggregate fluctuations in financial markets Macroecon. Dyn. 4 170-95
8. Cont R, Ghoulmié F and Nadal J-P 2004 Threshold behaviour and volatility clustering in financial markets Working Paper
9. Cutler D, Poterba J and Summers L 1989 What moves stock prices? J. Portfolio Manage. 4-12
10. Ding Z, Granger C and Engle R 1983 A long memory property of stock market returns and a new model J. Empirical Finance 1 83-106
11. Engle R 1995 ARCH Models (Oxford: Oxford University Press)
12. Farmer J D and Joshi S 2002 The price dynamics of common trading strategies J. Econ. Behav. Organ. 49 149-71
13. Giardina I and Bouchaud J-P 2003 Bubbles, crashes and intermittency in agent based market models Eur. Phys. J. B 31 421-37
14. Granovetter M 1978 Threshold models of collective behaviour Am. J. Social. 83 1420-43
15. Guillaume D, Dacorogna M, Davé R, Müller U, Olsen R and Pictet O 1997 From the birds eye view to the microscope: a survey of new stylized facts of the intraday foreign exchange markets Finance and Stocnastics 195-131
16. Hommes C H, Gaunersdorfer A and Wagener F O 2003 Bifurcation routes to volatility clustering under evolutionary learning Technical Report, CenDEF
17. Iori G 2002 A microsimulation of traders activity in the stock market: the role of heterogeneity, agents interactions and trade frictions J. Econ. Behav. Organ. 49 269-85
18. Kirman A and Teyssiere G 2002 Microeconomic models for long-memory in the volatility of financial time series Stud. Nonlinear Dyn. Econometrics 5 281-302
19. LeBaron B 2001 Evolution and time horizons in an agent-based stock market Macroecon. Dyn. 5 225-54
20. LiCalzi M and Pellizzari P 2003 Fundamentalists clashing over the book: a study of order-driven stock markets Quant. Finance 3 470-80
21. Lux T and Marchesi M 2000 Volatility clustering in financial markets Int. J. Theor. Appl. Finance 3 675-702
22. Mandelbrot B B 1963 The variation of certain speculative prices J. Business 36 392-417
23. Mézard M, Parisi G and Virasoro M 1989 Spin Glasses and Beyond (Singapore: World Scientific)
24. Orlean A 1995 Bayesian interactions and collective dynamics of opinions J. Econ. Behav. Organ. 28 257-74
25. Shiller R 2000 Irrational Exuberance (Princeton, NJ: Princeton University Press)
26. Stauffer D 2001 Percolation models of financial market dynamics Adv. Complex Syst. 4 19-27
27. Zovko I and Farmer J D 2002 The power of patience: a behavioural regularity in limit order placement Quant. Finance 2 387-92