Journal ArticleDOI
On the unstable behaviour of stock exchanges
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In this paper, the authors introduce variables describing the activity of investors, depending upon the rate of buying and selling of investors in a stock exchange, which can be regarded as a dependent variable.About:
This article is published in Journal of Mathematical Economics.The article was published on 1974-03-01. It has received 298 citations till now. The article focuses on the topics: Stock exchange & Index (economics).read more
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Heterogeneous beliefs and routes to chaos in a simple asset pricing model
William A. Brock,Cars Hommes +1 more
TL;DR: In this paper, the authors investigate the dynamics in a simple present discounted value asset pricing model with heterogeneous beliefs, where agents choose from a finite set of predictors of future prices of a risky asset and revise their "beliefs" in each period in a boundedly rational way, according to a fitness measure such as past realized profits.
Posted Content
Agent-based Computational Finance
TL;DR: The authors surveys research on agent-based models used in finance, focusing on models where the use of computational tools is critical for the process of crafting models which give insights into the importance and dynamics of investor heterogeneity in many financial settings.
Journal ArticleDOI
Time series properties of an artificial stock market
TL;DR: In this article, the authors present results from an experimental computer simulated stock market, where artificial intelligence algorithms take on the role of traders and make predictions about the future, and buy and sell stock as indicated by their expectations of future risk and return.
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Agent-based computational finance: Suggested readings and early research
TL;DR: The use of computer simulated markets with individual adaptive agents in finance is a new, but growing field as mentioned in this paper, focusing on a set of some of the earliest papers in the area.
Journal ArticleDOI
Estimation of agent-based models: the case of an asymmetric herding model
TL;DR: In this article, the authors introduce a simple agent-based model in which the ubiquitous stylized facts (fat tails, volatility clustering) are emergent properties of the interaction among traders.
References
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Book ChapterDOI
Differential equations for the heartbeat and nerve impulse
TL;DR: Catastrophic theory provides not only a better conceptual understanding, by giving a single global picture that enables an overall grasp of the phenomenon, but also provides explicit equations for testing experimentally.