Linking agent-based models and stochastic models of financial markets
نویسندگان
چکیده
منابع مشابه
Linking agent-based models and stochastic models of financial markets.
It is well-known that financial asset returns exhibit fat-tailed distributions and long-term memory. These empirical features are the main objectives of modeling efforts using (i) stochastic processes to quantitatively reproduce these features and (ii) agent-based simulations to understand the underlying microscopic interactions. After reviewing selected empirical and theoretical evidence docum...
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ژورنال
عنوان ژورنال: Proceedings of the National Academy of Sciences
سال: 2012
ISSN: 0027-8424,1091-6490
DOI: 10.1073/pnas.1205013109