Time series analysis for minority game simulations of financial markets
From MaRDI portal
Publication:1867889
DOI10.1016/S0378-4371(02)01733-8zbMath1011.91037arXivphysics/0203038OpenAlexW2159338194MaRDI QIDQ1867889
Gerson Francisco, Birajara S. Machado, Paulsamy Muruganandam, Fernando Fagundes Ferreira
Publication date: 2 April 2003
Published in: Physica A (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/physics/0203038
Applications of game theory (91A80) Stochastic models in economics (91B70) Statistical methods; economic indices and measures (91B82)
Related Items (6)
Dynamics characterization of modified Gross-Pitaevskii equation ⋮ RECURRENCE PLOT AND RECURRENCE QUANTIFICATION ANALYSIS TECHNIQUES FOR DETECTING A CRITICAL REGIME. ⋮ Complexity analysis of the turbulent environmental fluid flow time series ⋮ Chaotic Dynamics in Brain Activity: An Approach Based on Cross-Prediction Errors for Nonstationary Signals ⋮ Detailed study of a moving average trading rule ⋮ Time series analysis for minority game simulations of financial markets
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Testing for nonlinearity in time series: the method of surrogate data
- On the concept of attractor
- Fundamental limitations for estimating dimensions and Lyapunov exponents in dynamical systems
- Time series analysis for minority game simulations of financial markets
- Practical implementation of nonlinear time series methods: The <scp>TISEAN</scp> package
- A Fast Algorithm for the BDS Statistic
- On the Complexity of Finite Sequences
- A test for independence based on the correlation dimension
- TRADER DYNAMICS IN A MODEL MARKET
- Introduction to Econophysics
- Stylized facts of financial markets and market crashes in Minority Games
- Microscopic models for long ranged volatility correlations
This page was built for publication: Time series analysis for minority game simulations of financial markets
