Cycles, determinism and persistence in agent-based games and financial time-series: part I

DOI10.1080/14697688.2012.670260zbMath1279.91200OpenAlexW2123632787MaRDI QIDQ2873534

J. B. Satinover, Didier Sornette

Publication date: 24 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.670260

zbMATH Keywords

agent-based modellingeconophysicsquantitative trading strategiescontrol and optimizationanomalies in pricescross disciplinary problems

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Economic time series analysis (91B84) Games involving graphs (91A43) Financial applications of other theories (91G80) Dynamic games (91A25)

Related Items

Decision trees unearth return sign predictability in the S&P 500

Cites Work

• Illusion of control in time-horizon minority and Parrondo games
• Dynamics of the time horizon minority game
• Periodic orbit theory in classical and quantum mechanics
• Applications of Hilbert–Huang transform to non‐stationary financial time series analysis
• Wavelet methods in (financial) time-series processing