Connectivity, information jumps, and market stability: an agent-based approach
From MaRDI portal
Publication:1674796
DOI10.1155/2017/6752086zbMath1373.93053OpenAlexW2747641106MaRDI QIDQ1674796
Talal Alsulaiman, Khaldoun Khashanah
Publication date: 26 October 2017
Published in: Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2017/6752086
jump-diffusion processmarket stabilityagent-based networkinformation connectivityscale-free market network
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Cites Work
- Heterogeneous beliefs and routes to chaos in a simple asset pricing model
- Artificial economic life: A simple model of a stockmarket
- Time series properties of an artificial stock market
- Asset price dynamics with heterogeneous beliefs and local network interactions
- Jump-diffusion models with constant parameters for financial log-return processes
- Artificial economics. Agent-based methods in finance, game theory and their applications. Selected papers based on the presentation at the symposium `Artificial economics 2005' (AE 2005), Lille, France, September 15--16, 2005.
- Leverage causes fat tails and clustered volatility
- Emergence of Scaling in Random Networks
- Smart Money, Noise Trading and Stock Price Behaviour
- Prospect Theory: An Analysis of Decision under Risk
- Option pricing when underlying stock returns are discontinuous
This page was built for publication: Connectivity, information jumps, and market stability: an agent-based approach
