Calibration of the agent-based continuous double auction stock market by scaling analysis

Information Sciences

Volumn 256, Issue , 2014, Pages 46-56

  Li, Yuelei ^a   Zhang, Wei ^a   Zhang, Yongjie ^a   Zhang, Xiaotao ^a   Xiong, Xiong ^a  

^a TIANJIN UNIVERSITY   (China)

Author keywords

Agent based computational finance; Calibration; Continuous double auction; Multi scale behavior; Power law

Indexed keywords

AGENT-BASED COMPUTATIONAL FINANCE; CALIBRATION METHOD; CHINESE STOCK MARKET; CONTINUOUS DOUBLE AUCTION; MULTI-SCALE BEHAVIOR; POWER LAW; STOCK MARKET MODEL; THEORETICAL VALUES;

CALIBRATION; FINANCE;

COMMERCE;

EID: 84887251716     PISSN: 00200255     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ins.2012.06.019     Document Type: Article

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