An agent-based approach to financial stylized facts

Physica A: Statistical Mechanics and its Applications

Volumn 379, Issue 1, 2007, Pages 207-225

  Shimokawa, Tetsuya ^a   Suzuki, Kyoko ^a   Misawa, Tadanobu ^a  

^a TOKYO UNIVERSITY OF SCIENCE   (Japan)

Author keywords

Agent based simulation; Financial stylized facts; Loss aversion; Market liquidity; Prospect theory

Indexed keywords

DECISION MAKING; MARKETING; MATHEMATICAL MODELS; MULTI AGENT SYSTEMS;

AGENT-BASED SIMULATION; FINANCIAL STYLIZED FACTS; LOSS-AVERSION; MARKET LIQUIDITY; PROSPECT THEORY;

FINANCIAL DATA PROCESSING;

EID: 33947392542     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2006.12.014     Document Type: Article

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