The extraction of macromodel and origin of long-ranged correlations

DOI10.1016/S0378-4371(02)01952-0zbMath1057.91037OpenAlexW2073506658MaRDI QIDQ1874002

Kazuko Yamasaki, Kenneth J. Mackin

Publication date: 21 May 2003

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

Full work available at URL: https://doi.org/10.1016/s0378-4371(02)01952-0

zbMATH Keywords

market simulationmacroscopic stochastic return processmicroscopic stochastic trader-judgment process

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Auctions, bargaining, bidding and selling, and other market models (91B26)

Cites Work

• Elements for a theory of financial risks
• Volatility clustering in agent based market models
• Dynamical models of stock market exchanges: From microscopic determinism to macroscopic randomness

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