Can a zero-intelligence plus model explain the stylized facts of financial time series data?

11th International Conference on Autonomous Agents and Multiagent Systems 2012, AAMAS 2012: Innovative Applications Track

Volumn 2, Issue , 2012, Pages 552-559

  Palit, Imon ^a   Phelps, Steve ^b   Ng, Wing Lon ^b  

^a UNIVERSITY OF ROME TOR VERGATA   (Italy)

^b UNIVERSITY OF ESSEX   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

AUTONOMOUS AGENTS; COMPUTATIONAL METHODS; FINANCE; FINANCIAL DATA PROCESSING; MULTI AGENT SYSTEMS; TIME SERIES;

AGENT-BASED MODEL; FINANCIAL MARKET; FINANCIAL TIME SERIES; STATISTICAL FEATURES; STRATEGIC MODELS; TIME-SERIES DATA; VOLATILITY CLUSTERING; ZERO INTELLIGENCES;

COMMERCE;

EID: 84883269179     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

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