Agent-based model with heterogeneous fundamental prices

Página do item simplificado
dc.contributor.authorFerreira, Fernando F.
dc.contributor.authorDe Oliveira, Viviane M.
dc.contributor.authorCrepaldi, Antônio F. [UNESP]
dc.contributor.authorCampos, Paulo R.A.
dc.contributor.institutionInternational Centre for Theoretical Physics
dc.contributor.institutionUniversidade Federal de Pernambuco (UFPE)
dc.contributor.institutionUniversidade Estadual Paulista (UNESP)
dc.contributor.institutionUniversidade Federal Rural de Pernambuco
dc.date.accessioned2022-04-28T20:01:18Z
dc.date.available2022-04-28T20:01:18Z
dc.date.issued2005-11-15
dc.description.abstractIn this paper, we investigate the properties of the return time series generated by a multi-agent-based model for financial markets. Our model is a variant of the grand canonical minority game model where the agents behave as producers and a fraction of them is allowed to shift their strategy in order to act opportunistically as fundamentalists. Our model assumes the existence of speculators with heterogeneous beliefs about the fundamental price. Our simulation results are robust to reproduce stylized facts as volatility clustering, fat tail, uncorrelated return and slowing decay on the absolute return. © 2005 Elsevier B.V. All rights reserved.en
dc.description.affiliationInternational Centre for Theoretical Physics, Strada Costiera 11, 34100 Trieste
dc.description.affiliationDepartamento de Física Universidade Federal de Pernambuco Cidade Universitária, Recife PE, 50670-901
dc.description.affiliationInstituto de Física Teórica Universidade Estadual de São Paulo, Rua Pamplona 145, São Paulo 01405-900
dc.description.affiliationDepartamento de Física e Matemática Universidade Federal Rural de Pernambuco, 51170-900, Dois Irmaos, Recife PE
dc.description.affiliationUnespInstituto de Física Teórica Universidade Estadual de São Paulo, Rua Pamplona 145, São Paulo 01405-900
dc.format.extent534-542
dc.identifierhttp://dx.doi.org/10.1016/j.physa.2005.03.048
dc.identifier.citationPhysica A: Statistical Mechanics and its Applications, v. 357, n. 3-4, p. 534-542, 2005.
dc.identifier.doi10.1016/j.physa.2005.03.048
dc.identifier.issn0378-4371
dc.identifier.scopus2-s2.0-24644459769
dc.identifier.urihttp://hdl.handle.net/11449/224595
dc.language.isoeng
dc.relation.ispartofPhysica A: Statistical Mechanics and its Applications
dc.sourceScopus
dc.subjectGrand canonical minority game
dc.subjectHeterogeneity in fundamental prices
dc.subjectStylized facts
dc.titleAgent-based model with heterogeneous fundamental pricesen
dc.typeArtigo

Arquivos

Coleções

Artigos - Instituto de Física Teórica (IFT)