An agent-based model of stock markets incorporating momentum investors

Physica A: Statistical Mechanics and its Applications

Volumn 392, Issue 12, 2013, Pages 2728-2735

  Wei, J R ^a   Huang, J P ^a   Hui, P M ^b  

^a FUDAN UNIVERSITY   (China)

^b CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Agent based modeling; Complex systems; Econophysics

Indexed keywords

AUTONOMOUS AGENTS; COMMERCE; COMPUTATIONAL METHODS; ELECTRONIC TRADING; FINANCIAL MARKETS; LARGE SCALE SYSTEMS; MOMENTUM; SIMULATION PLATFORM;

AGENT-BASED MODEL; ECONOPHYSICSS; LONG-TERM CORRELATIONS; MODEL PARAMETERS; MOMENTUM STRATEGIES; PRACTICAL IMPORTANCE; SCALING BEHAVIOR; STYLIZED FACTS;

INVESTMENTS;

EID: 84876158827     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2013.02.011     Document Type: Article

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