Information-based multi-assets artificial stock market with heterogeneous agents

DOI10.1016/j.nonrwa.2010.09.018zbMath1203.91090OpenAlexW1991843589MaRDI QIDQ619750

Silvano Cincotti, Stefano Pastore, Linda Ponta

Publication date: 18 January 2011

Published in: Nonlinear Analysis. Real World Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.nonrwa.2010.09.018

zbMATH Keywords

random matrix theoryartificial financial marketsinformation graphsmulti-assetsstatic and dynamic factors

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Microeconomic theory (price theory and economic markets) (91B24) Heterogeneous agent models (91B69) Agent technology and artificial intelligence (68T42)

Related Items (6)

Static and dynamic factors in an information-based multi-asset artificial stock market ⋮ Traders' networks of interactions and structural properties of financial markets: an agent-based approach ⋮ An agent-based model of corporate bond trading ⋮ Multiagent systems for modeling the information game in a financial market ⋮ Information identification in different networks with heterogeneous information sources ⋮ Multi-scale transition matrix approach to time series

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