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Pré-Publication, Document De Travail Année : 2004

Evolution of heterogeneity in an agent-based market model.

Résumé

We propose an agent-based model of a single-asset financial market, described in terms of a small number of parameters. The joint effect of feedback and heterogeneity leads to price returns with statistical properties similar to the stylized facts observed in financial time series. We investigate theoretically the evolution of heterogeneity in the model.
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Dates et versions

hal-00002298 , version 1 (23-07-2004)
hal-00002298 , version 2 (28-08-2004)
hal-00002298 , version 3 (01-12-2004)

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Francois Ghoulmie. Evolution of heterogeneity in an agent-based market model.. 2004. ⟨hal-00002298v1⟩
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