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Agent-Based Stock Market Model with Endogenous Agents' Impact

Jan A. Lipski and Ryszard Kutner

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Abstract: The three-state agent-based 2D model of financial markets as proposed by Giulia Iori has been extended by introducing increasing trust in the correctly predicting agents, a more realistic consultation procedure as well as a formal validation mechanism. This paper shows that such a model correctly reproduces the three fundamental stylised facts: fat-tail log returns, power-law volatility autocorrelation decay in time and volatility clustering.

Date: 2013-10, Revised 2013-12
New Economics Papers: this item is included in nep-cmp and nep-fmk
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