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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 under...
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| Main Authors: | , , , , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
National Academy of Sciences
2012
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC3365211/ https://ncbi.nlm.nih.gov/pubmed/22586086 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1073/pnas.1205013109 |
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