An agent-based model of stock markets incorporating momentum investors

DOI10.1016/J.PHYSA.2013.02.011zbMath1402.91969OpenAlexW2132189439MaRDI QIDQ1672973

Peng Zhang

Publication date: 11 September 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2013.02.011

zbMATH Keywords

complex systemseconophysicsagent-based modeling

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Financial applications of other theories (91G80)

Related Items (2)

Price dynamics in an order-driven market with Bayesian learning ⋮ Multi-scale transition matrix approach to time series

Cites Work

• Unnamed Item
• On the probability distribution of stock returns in the Mike-Farmer model
• Institutional Investors and Stock Market Volatility
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• Empirical properties of asset returns: stylized facts and statistical issues
• Stylized facts of financial markets and market crashes in Minority Games
• Application of multi-agent games to the prediction of financial time series

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