Matches in SemOpenAlex for { <https://semopenalex.org/work/W2135454155> ?p ?o ?g. }
Showing items 1 to 67 of
67
with 100 items per page.
- W2135454155 abstract "We argue that two main ingredients in agent-based models (and in real speculative markets) which lead to realistic behavior of prices and trading volume are : heterogeneity (given the same source of information, market participants do not behave identically) and feedback (the individual demand of an investor for an asset is not only a function of the current price of the asset as in microeconomic equilibrium theory, but mainly depends on the recent history of the market prices). We then propose an agent-based model described in terms of few parameters which contains these two ingredients and show that the joint effect of feedback and heterogeneity leads to a market price which fluctuates endlessly and a volatility which displays a mean-reverting behavior : the volatility goes neither to zero nor to infinity in the long-run. The behavioral assumption is minimal : agents with threshold response towards information interact indirectly via the price. Heterogeneity is produced endogeneously because of the asynchronous updating process. Our agent-based model generically leads to absence of autocorrelation in returns, excess volatility, volatility clustering and endogeneous bursts of activity non attributable to external noise. Finally, the last part of the paper is a theoretical analysis focusing on the role of heterogeneity and its dynamics in this model" @default.
- W2135454155 created "2016-06-24" @default.
- W2135454155 creator A5078247921 @default.
- W2135454155 date "2004-08-11" @default.
- W2135454155 modified "2023-09-27" @default.
- W2135454155 title "Heterogeneity and feedback in an agent based market model" @default.
- W2135454155 hasPublicationYear "2004" @default.
- W2135454155 type Work @default.
- W2135454155 sameAs 2135454155 @default.
- W2135454155 citedByCount "0" @default.
- W2135454155 crossrefType "posted-content" @default.
- W2135454155 hasAuthorship W2135454155A5078247921 @default.
- W2135454155 hasConcept C105795698 @default.
- W2135454155 hasConcept C149782125 @default.
- W2135454155 hasConcept C154945302 @default.
- W2135454155 hasConcept C162324750 @default.
- W2135454155 hasConcept C175444787 @default.
- W2135454155 hasConcept C23922673 @default.
- W2135454155 hasConcept C2776142675 @default.
- W2135454155 hasConcept C2780873155 @default.
- W2135454155 hasConcept C33923547 @default.
- W2135454155 hasConcept C38652104 @default.
- W2135454155 hasConcept C41008148 @default.
- W2135454155 hasConcept C5297727 @default.
- W2135454155 hasConcept C76178495 @default.
- W2135454155 hasConcept C91602232 @default.
- W2135454155 hasConceptScore W2135454155C105795698 @default.
- W2135454155 hasConceptScore W2135454155C149782125 @default.
- W2135454155 hasConceptScore W2135454155C154945302 @default.
- W2135454155 hasConceptScore W2135454155C162324750 @default.
- W2135454155 hasConceptScore W2135454155C175444787 @default.
- W2135454155 hasConceptScore W2135454155C23922673 @default.
- W2135454155 hasConceptScore W2135454155C2776142675 @default.
- W2135454155 hasConceptScore W2135454155C2780873155 @default.
- W2135454155 hasConceptScore W2135454155C33923547 @default.
- W2135454155 hasConceptScore W2135454155C38652104 @default.
- W2135454155 hasConceptScore W2135454155C41008148 @default.
- W2135454155 hasConceptScore W2135454155C5297727 @default.
- W2135454155 hasConceptScore W2135454155C76178495 @default.
- W2135454155 hasConceptScore W2135454155C91602232 @default.
- W2135454155 hasLocation W21354541551 @default.
- W2135454155 hasOpenAccess W2135454155 @default.
- W2135454155 hasPrimaryLocation W21354541551 @default.
- W2135454155 hasRelatedWork W1600629322 @default.
- W2135454155 hasRelatedWork W197063083 @default.
- W2135454155 hasRelatedWork W1976503548 @default.
- W2135454155 hasRelatedWork W1977685635 @default.
- W2135454155 hasRelatedWork W2021210954 @default.
- W2135454155 hasRelatedWork W2044392476 @default.
- W2135454155 hasRelatedWork W2047229686 @default.
- W2135454155 hasRelatedWork W2074983186 @default.
- W2135454155 hasRelatedWork W2398483603 @default.
- W2135454155 hasRelatedWork W2765553854 @default.
- W2135454155 hasRelatedWork W2892174303 @default.
- W2135454155 hasRelatedWork W2952569826 @default.
- W2135454155 hasRelatedWork W3023789752 @default.
- W2135454155 hasRelatedWork W3099035682 @default.
- W2135454155 hasRelatedWork W3100085027 @default.
- W2135454155 hasRelatedWork W3122521520 @default.
- W2135454155 hasRelatedWork W3123648868 @default.
- W2135454155 hasRelatedWork W3124990462 @default.
- W2135454155 hasRelatedWork W3148797155 @default.
- W2135454155 hasRelatedWork W3200304699 @default.
- W2135454155 isParatext "false" @default.
- W2135454155 isRetracted "false" @default.
- W2135454155 magId "2135454155" @default.
- W2135454155 workType "article" @default.