On the specification of noise in two agent-based asset pricing models

DOI10.1016/j.jedc.2010.02.002zbMath1230.91057OpenAlexW1977967613MaRDI QIDQ976529

Reiner Franke

Publication date: 11 June 2010

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

Full work available at URL: https://doi.org/10.1016/j.jedc.2010.02.002

zbMATH Keywords

heterogeneous agentsvolatility clusteringautocorrelations of returnsstructural stochastic volatility

Mathematics Subject Classification ID

Heterogeneous agent models (91B69)

Related Items (5)

On the bimodality of the distribution of the S\&P 500's distortion: empirical evidence and theoretical explanations ⋮ Boom-bust dynamics in a stock market participation model with heterogeneous traders ⋮ Do `complex' financial models really lead to complex dynamics? Agent-based models and multifractality ⋮ Speculative behavior and the dynamics of interacting stock markets ⋮ Estimation of a structural stochastic volatility model of asset pricing

Cites Work

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• Speculative markets and the effectiveness of price limits
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• Estimation of agent-based models: The case of an asymmetric herding model
• Power-law behaviour, heterogeneity, and trend chasing
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Modeling exchange rate behavior with a genetic algorithm
• Agent-based computational finance: Suggested readings and early research

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