Add to ORKGHere, we show that agents who are ex ante rational, if allowed to interact locally, may generate clustering of volatility. Hence, there is no need to reject the notion of rationality in agent based models
We explore market dynamics generated by the Santa-Fe Artificial Stock Market model. It allows to stu...
Can boundedly rational agents survive competition with fully rational agents? The authors develop a ...
A simple asset pricing model with two types of boundedly rational traders, fundamentalists and chart...
Here, we show that agents who are ex ante rational, if allowed to interact locally, may generate clu...
Standard economic theory assumes that agents in markets behave rationally. However, the observation ...
© 2016 Elsevier B.V. This paper verifies the endogenous mechanism and economic intuition on volatili...
Several agent-based models have been proposed in the economic literature to explain the key stylized...
A simple asset pricing model with two types of adaptively learning traders, fundamentalists and tech...
Volatility clustering is a stylized fact common in nance. Large changes in prices tend to cluster wh...
Several agent-based models have been proposed in the economic literature to explain the key stylized...
Summary. Time series of financial asset returns often exhibit the volatility clustering property: la...
A simple asset pricing model with two types of adaptively learning traders, fundamentalists and tech...
We relax the strong rationality assumption for the agents in the paradigmatic Kyle model of price fo...
forthcoming in Journal of Economic Behavior and Organization Abstract. A simple asset pricing model ...
Summary. We explore market dynamics generated by the Santa-Fe Artificial Stock Market model. It allo...
We explore market dynamics generated by the Santa-Fe Artificial Stock Market model. It allows to stu...
Can boundedly rational agents survive competition with fully rational agents? The authors develop a ...
A simple asset pricing model with two types of boundedly rational traders, fundamentalists and chart...
Here, we show that agents who are ex ante rational, if allowed to interact locally, may generate clu...
Standard economic theory assumes that agents in markets behave rationally. However, the observation ...
© 2016 Elsevier B.V. This paper verifies the endogenous mechanism and economic intuition on volatili...
Several agent-based models have been proposed in the economic literature to explain the key stylized...
A simple asset pricing model with two types of adaptively learning traders, fundamentalists and tech...
Volatility clustering is a stylized fact common in nance. Large changes in prices tend to cluster wh...
Several agent-based models have been proposed in the economic literature to explain the key stylized...
Summary. Time series of financial asset returns often exhibit the volatility clustering property: la...
A simple asset pricing model with two types of adaptively learning traders, fundamentalists and tech...
We relax the strong rationality assumption for the agents in the paradigmatic Kyle model of price fo...
forthcoming in Journal of Economic Behavior and Organization Abstract. A simple asset pricing model ...
Summary. We explore market dynamics generated by the Santa-Fe Artificial Stock Market model. It allo...
We explore market dynamics generated by the Santa-Fe Artificial Stock Market model. It allows to stu...
Can boundedly rational agents survive competition with fully rational agents? The authors develop a ...
A simple asset pricing model with two types of boundedly rational traders, fundamentalists and chart...