Time series properties of an artificial stock market

DOI10.1016/S0165-1889(98)00081-5zbMath0959.91017OpenAlexW2017474768WikidataQ128090311 ScholiaQ128090311MaRDI QIDQ1960557

Blake LeBaron, W. Brian Arthur, Richard Palmer

Publication date: 12 January 2000

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(98)00081-5

Mathematics Subject Classification ID

Economic time series analysis (91B84) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (84)

PHYSICISTS ATTEMPT TO SCALE THE IVORY TOWERS OF FINANCE ⋮ A SIMPLE MODEL FOR THE NONEQUILIBRIUM DYNAMICS AND EVOLUTION OF A FINANCIAL MARKET ⋮ Transfer entropy coefficient: quantifying level of information flow between financial time series ⋮ Time variation of higher moments in a financial market with heterogeneous agents: an analytical approach ⋮ Permutation entropy analysis based on Gini-Simpson index for financial time series ⋮ Static and dynamic factors in an information-based multi-asset artificial stock market ⋮ Effects of fundamentals acquisition and strategy switch on stock price dynamics ⋮ Target zone interventions and coordination of expectations ⋮ Traders' networks of interactions and structural properties of financial markets: an agent-based approach ⋮ Machine learning and speed in high-frequency trading ⋮ Herding behaviour and volatility clustering in financial markets ⋮ Development of an agent-based speculation game for higher reproducibility of financial stylized facts ⋮ On the bimodality of the distribution of the S\&P 500's distortion: empirical evidence and theoretical explanations ⋮ Learning, information processing and order submission in limit order markets ⋮ A calibration procedure for analyzing stock price dynamics in an agent-based framework ⋮ Estimating the intensity of choice in a dynamic mutual fund allocation decision ⋮ INDIVIDUAL EXPECTATIONS AND AGGREGATE BEHAVIOR IN LEARNING-TO-FORECAST EXPERIMENTS ⋮ Examining the effectiveness of price limits in an artificial stock market ⋮ Between complexity of modelling and modelling of complexity: an essay on econophysics ⋮ Connectivity, information jumps, and market stability: an agent-based approach ⋮ Behavioral heterogeneity in the option market ⋮ Multiagent systems for modeling the information game in a financial market ⋮ Information-based multi-assets artificial stock market with heterogeneous agents ⋮ Heterogeneous information-based artificial stock market ⋮ Evolutionary finance and dynamic games ⋮ The impact of the SARS-CoV-2 pandemic on financial markets: a seismologic approach ⋮ An agent-based approach for time-series momentum and reversal ⋮ BRA: an algorithm for simulating bounded rational agents ⋮ Wealth-driven competition in a speculative financial market: examples with maximizing agents ⋮ Heterogeneity, convergence, and autocorrelations ⋮ The Euro/Dollar exchange rate: chaotic or non-chaotic? A continuous time model with heterogeneous beliefs ⋮ On the price dynamics of a two-dimensional financial market model with entry levels ⋮ Dynamics of a durable commodity market involving trade at disequilibrium ⋮ Fundamentalists, chartists and asset pricing anomalies ⋮ Modifying a simple agent-based model to disentangle the microstructure of Chinese and US stock markets ⋮ An agent-based macroeconomic model with interacting firms, socio-economic opinion formation and optimistic/pessimistic sales expectations ⋮ Globally evolutionarily stable portfolio rules ⋮ Order aggressiveness, pre-trade transparency, and long memory in an order-driven market ⋮ BCB Curves and Contact Bifurcations in Piecewise Linear Discontinuous Map Arising in a Financial Market ⋮ A simple financial market model with chartists and fundamentalists: market entry levels and discontinuities ⋮ Hopf bifurcation analysis and ultimate bound estimation of a new 4-D quadratic autonomous hyper-chaotic system ⋮ Agent-based computational finance: Suggested readings and early research ⋮ Heterogeneous beliefs and the non-linear cobweb model ⋮ Endogenous fluctuations in a simple asset pricing model with heterogeneous agents ⋮ Statistical properties of genetic learning in a model of exchange rate ⋮ The role of intelligence in time series properties ⋮ A behavioral asset pricing model with a time-varying second moment ⋮ TRADER SPECIES WITH DIFFERENT DECISION STRATEGIES AND PRICE DYNAMICS IN FINANCIAL MARKETS: AN AGENT-BASED MODELING PERSPECTIVE ⋮ Financial power laws: empirical evidence, models, and mechanisms ⋮ Stochastic equilibrium: Learning by exponential smoothing ⋮ Profitable technical trading rules as a source of price instability ⋮ On the performance of efficient portfolios ⋮ Herding, a-synchronous updating and heterogeneity in memory in a CBS ⋮ A robust rational route to randomness in a simple asset pricing model ⋮ Prices, debt and market structure in an agent-based model of the financial market ⋮ Strategy switching in the Japanese stock market ⋮ Asset price dynamics with heterogeneous beliefs and local network interactions ⋮ Markets do not select for a liquidity preference as behavior towards risk ⋮ Equilibria, stability and asymptotic dominance in a speculative market with heterogeneous traders ⋮ Evolutionary dynamics in markets with many trader types ⋮ The role of communication and imitation in limit order markets ⋮ Agent-based simulation of a financial market ⋮ Abnormal statistical properties of stock indexes during a financial crash ⋮ Effects of common factors on dynamics of stocks traded by investors with limited information capacity ⋮ A novel hyperchaotic system with infinitely many heteroclinic orbits coined ⋮ Simulation of game analysis based on an agent-based artificial stock market re-examined ⋮ Hopf bifurcation and intermittent transition to hyperchaos in a novel strong four-dimensional hyperchaotic system ⋮ A NONLINEAR SUPER-EXPONENTIAL RATIONAL MODEL OF SPECULATIVE FINANCIAL BUBBLES ⋮ Study on the stability of an artificial stock option market based on bidirectional conduction ⋮ Spoofing the limit order book: a strategic agent-based analysis ⋮ A computational view of market efficiency ⋮ Modified multidimensional scaling approach to analyze financial markets ⋮ An evolutionary game theory explanation of ARCH effects ⋮ Power-law behaviour, heterogeneity, and trend chasing ⋮ MULTISCALED CROSS-CORRELATION DYNAMICS IN FINANCIAL TIME-SERIES ⋮ LOCK-IN OF EXTRAPOLATIVE EXPECTATIONS IN AN ASSET PRICING MODEL ⋮ LEARNING DYNAMICS AND NONLINEAR MISSPECIFICATION IN AN ARTIFICIAL FINANCIAL MARKET ⋮ Trading profitability from learning and adaptation on the Tokyo Stock Exchange ⋮ Introduction to the special issue on agent-based computational economics ⋮ Fuzzy inductive reasoning, expectation formation and the behavior of security prices ⋮ WHAT CAUSES PERSISTENCE OF STOCK RETURN VOLATILITY? ONE POSSIBLE EXPLANATION WITH AN ARTIFICIAL STOCK MARKET ⋮ Reinforcement learning equilibrium in limit order markets ⋮ Learning classifier systems: New models, successful applications ⋮ Using multi-agent simulation to understand trading dynamics of a derivatives market

Cites Work

This page was built for publication: Time series properties of an artificial stock market