Testing for non-linear structure in an artificial financial market

@inproceedings{Chen2001TestingFN,
  title={Testing for non-linear structure in an artificial financial market},
  author={Shu-Heng Chen and Thomas Lux and Michele Marchesi},
  year={2001}
}
We present a stochastic simulation model of a prototype financial market. Our market is populated by both noise traders and fundamentalist speculators. The dynamics covers switches in the prevailing mood among noise traders (optimistic or pessimistic) as well as switches of agents between the noise traders and fundamentalist group in response to observed differences in profits. The particular behavioral variant adopted by an agent also determines her decision to enter on the long or the short… CONTINUE READING

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