Frankfurt Artificial Stock Market: A microscopic stock market model with heterogeneous interacting agents in small-world communication networks

Journal of Economic Interaction and Coordination

Volumn 3, Issue 1, 2008, Pages 59-71

  Hein, Oliver ^a   Schwind, Michael ^b   Spiwoks, Markus ^c  

^a GOETHE UNIVERSITY   (Germany)

^b University of Koblenz Landau   (Germany)

^c University of Applied Sciences Wolfsburg   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 42749096027     PISSN: 1860711X     EISSN: 18607128     Source Type: Journal    
DOI: 10.1007/s11403-008-0036-4     Document Type: Article

References (20)

1. Arthur W, Holland J, LeBaron B, Palmer R, Taylor P (1997) Asset pricing under endogenous expectations in an artificial stock market. In: Arthur W, Durlauf S, Lane D (eds) The economy as an evolving complex system II. Addison-Wesley, Reading
2. Bak P, Paczuski M and Shubik M (1997). Price variations in a stock market with many agents. Physica A 246: 430-453
3. Bikhchandani S, Sharma S (2001) Herd behavior in financial markets. IMF Staff Papers, vol 47, no. 3
4. Cont R (2001). Empirical properties of asset returns: stylized facts and statistical issues. Quant Finance 1: 223-236
5. Cont R and Bouchaud J-P (2000). Herd behavior and aggregate fluctuations in financial markets. Macroecon Dyn 4: 170-196
6. Dorogovtsev S and Mendes J (2003). Evolution of networks, from biological nets to the Internet and WWW. Oxford University Press, Oxford
7. Erdös P and Renyi A (1959). On random graphs. Publ Math Debrecen 6: 290
8. Hommes C (2006) Heterogeneous agent models in economics and finance. In: Tesfatsion L, Judd K (eds) Handbook of computational economics, vol 2. Elsevier, Amsterdam
9. Kermack WO and McKendrick AG (1927). A contribution to the mathematical theory of epidemics. Proc R Soc Lond A 115: 700-721
10. Levy H, Levy M and Solomon S (2000). Microscopic simulations of financial markets. Academic Press, New York
11. Lux T and Marchesi M (2000). Volatility clustering in financial markets: a microsimulation of interacting agents. Int J Theor Appl Finance 3(4): 675-702
12. Lux T and Marchesi M (1999). Scaling and criticality in a stochastic multi-agent model of a financial market. Nature 397(11): 498-500
13. Newman MEJ (2000). Models of the small world. J Stat Phys 101: 819-841
14. Newman MEJ, Barabasi A-L and Watts DJ (2006). Structure and dynamics of networks. Princeton University Press, Princeton
15. Strogatz SH (2001). Complex networks. Nature 410: 268-276
16. Walsh T (1999) Search in a small world, In: Dean T (ed) Proceedings of the 16th International Joint Conference on Artificial Intelligence. Morgan, Kaufmann
17. Wang FX and Chen G (2003). Networks: small-world, scale-free and beyond. IEEE Circuits Syst Mag 1: 6-20
18. Watts DJ (2003). Six Degrees: the science of a connected age. W. W. Norton, New York
19. Watts DJ and Strogatz SH (1998). Collective dynamics of small-world networks. Nature 393: 440-442
20. Westerhoff F (2003). Heterogeneous traders and the tobin tax. J Evol Econ 13: 53-70