Testing for non-linearity in an artificial financial market: a recurrence quantification approach
Article Abstract:
Hinich's bispectral test and White's neutral network test for non-linear dynamics are comparatively analyzed. The time series behavior of simulated data from Luxand marchesi's model of a financial market with interacting agents is also examined.
Publisher: Elsevier B.V.
Publication Name: Journal of Economic Behavior & Organization
Subject: Economics
ISSN: 0167-2681
Year: 2004
Product information, Models, Testing, Linear systems
Publication Name: Journal of Economic Behavior & Organization
Subject: Economics
ISSN: 0167-2681
Year: 2004
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Modeling a large population of traders: mimesis and stability
Article Abstract:
Transitions in parameter space from stable to instable regimes in a financial market are discussed.
Publisher: Elsevier B.V.
Publication Name: Journal of Economic Behavior & Organization
Subject: Economics
ISSN: 0167-2681
Year: 2006
New York
Publication Name: Journal of Economic Behavior & Organization
Subject: Economics
ISSN: 0167-2681
Year: 2006
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The continuous time random walk formalism in financial markets
Article Abstract:
Continuous time random walk in financial markets to describe asset price evolution is studied.
Publisher: Elsevier B.V.
Publication Name: Journal of Economic Behavior & Organization
Subject: Economics
ISSN: 0167-2681
Year: 2006
United States, Regulation, Licensing, and Inspection of Miscellaneous Commercial Sectors, Asset Valuation & Distribution, Asset valuation
Publication Name: Journal of Economic Behavior & Organization
Subject: Economics
ISSN: 0167-2681
Year: 2006
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Subjects list: Spain, Financial markets, Analysis
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