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Matches in SemOpenAlex for { <https://semopenalex.org/work/W2110200780> ?p ?o ?g. }

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• W2110200780 abstract "We propose an agent-based model of a single-asset financial market, described in terms of a small number of parameters, which generates price returns with statistical properties similar to the stylized facts observed in financial time series. Our agent-based model generically leads to the absence of autocorrelation in returns, self-sustaining excess volatility, mean-reverting volatility, volatility clustering and endogenous bursts of market activity non-attributable to external noise. The parsimonious structure of the model allows the identification of feedback and heterogeneity as the key mechanisms leading to these effects." @default.
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• W2110200780 date "2005-03-25" @default.
• W2110200780 modified "2023-10-16" @default.
• W2110200780 title "Heterogeneity and feedback in an agent-based market model" @default.
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• W2110200780 doi "https://doi.org/10.1088/0953-8984/17/14/015" @default.
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