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• W2001010379 abstract "Abstract In this paper, we propose a new agent-based model to study the source of liquidity and the “emergent” phenomenon in financial market with fractal structure. The model rests on fractal market hypothesis and agents with different time horizons of investments. What is interesting is that though the agent-based model reveals that the interaction between these heterogeneous agents affects the stability and liquidity of the financial market the real world market lacks detailed data to bring it to light since it is difficult to identify and distinguish the investors with different time horizons in the empirical approach. results show that in a relatively short period of time fractal market provides liquidity from investors with different horizons and the market gains stability when the market structure changes from uniformity to diversification. In the real world the fractal structure with the finite of horizons can only stabilize the market within limits. With the finite maximum horizons, the greater diversity of the investors and the fractal structure will not necessarily bring more stability to the market which might come with greater fluctuation in large time scale." @default.
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• W2001010379 date "2014-08-01" @default.
• W2001010379 modified "2023-10-18" @default.
• W2001010379 title "Fractal markets: Liquidity and investors on different time horizons" @default.
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• W2001010379 doi "https://doi.org/10.1016/j.physa.2014.03.073" @default.
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