Trust in foreseeing neighbours - a novel threshold model of financial market

The three-state agent-based 2D model of financial markets in the version proposed by Giulia Iori in 2002 has been herein extended. We have introduced the increase of herding behaviour by modelling the altering trust of an agent in his nearest neighbours. The trust increases if the neighbour has fore...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	arXiv.org 2013-01
Hauptverfasser:	Lipski, Jan A, Kutner, Ryszard
Format:	Artikel
Sprache:	eng
Schlagworte:	Autocorrelation functions Clustering Economic models Markets Quantitative Finance - Trading and Microstructure Securities markets Two dimensional models Volatility
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!