Estimation of an agent-based model of investor sentiment formation in financial markets

DOI10.1016/j.jedc.2012.03.012zbMath1345.91090OpenAlexW1980086539MaRDI QIDQ310977

Thomas C. H. Lux

Publication date: 28 September 2016

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

Full work available at URL: https://doi.org/10.1016/j.jedc.2012.03.012

zbMATH Keywords

opinion formationsocial interactioninvestor sentiment

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Microeconomic theory (price theory and economic markets) (91B24) Financial applications of other theories (91G80) Statistical methods; economic indices and measures (91B82)

Related Items (10)

Stochastic model of financial markets reproducing scaling and memory in volatility return intervals ⋮ Multiscale multifractal DCCA and complexity behaviors of return intervals for Potts price model ⋮ Sentiment contagion analysis of interacting investors: evidence from China's stock forum ⋮ Empirical properties of a heterogeneous agent model in large dimensions ⋮ A method for agent-based models validation ⋮ Behavioral heterogeneity and financial crisis: the role of sentiment ⋮ Estimating a model of herding behavior on social networks ⋮ Nonlinear scaling analysis approach of agent-based Potts financial dynamical model ⋮ Inference for systems of stochastic differential equations from discretely sampled data: a numerical maximum likelihood approach ⋮ Phase and multifractality analyses of random price time series by finite-range interacting biased voter system

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