Estimation of a simple agent-based model of financial markets: An application to Australian stock and foreign exchange data

Physica A: Statistical Mechanics and its Applications

Volumn 370, Issue 1, 2006, Pages 38-42

  Alfarano, Simone ^a   Lux, Thomas ^a   Wagner, Friedrich ^a  

^a UNIVERSITY OF KIEL   (Germany)

Author keywords

Fat tails; Herd behavior; Speculative dynamics; Volatility clustering

Indexed keywords

INTERNATIONAL TRADE; MATHEMATICAL MODELS; MAXIMUM LIKELIHOOD ESTIMATION; PROBLEM SOLVING;

EXCHANGE RATE; FAT TAILS; FINANCIAL MARKETS; HERD BEHAVIOR; MIMETIC CONTAGION; SPECULATIVE DYNAMICS; VOLATILITY CLUSTERING;

FINANCIAL DATA PROCESSING;

EID: 33747359158     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2006.04.018     Document Type: Article

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