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- W101916511 abstract "The LLS stock market model (for a review see the book in Academic Press 2000: Microscopic Simulation of Financial Markets; From Investor Behavior to Market Phenomena by Levy, Levy and Solomon, ISBN: 0124458904) is a model of heterogeneous quasi-rational investors operating in a complex environment about which they have incomplete information. We review the main features of this model and several of its extensions. We study the effects of investor heterogeneity and show that predation, competition, or symbiosis may occur between different investor populations. The dynamics of the LLS model lead to the empirically observed Pareto wealth distribution. Many properties observed in actual markets appear as natural consequences of the LLS dynamics: truncated Levy distribution of short-term returns, excess volatility, a return autocorrelation U-shape pattern, and a positive correlation between volume and absolute returns." @default.
- W101916511 created "2016-06-24" @default.
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- W101916511 date "2001-04-01" @default.
- W101916511 modified "2023-09-27" @default.
- W101916511 title "Market Ecology, Pareto Wealth Distribution and Leptokurtic Returns in the LLS Stock Market Model" @default.
- W101916511 hasPublicationYear "2001" @default.
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