Asset price dynamics in a financial market with heterogeneous trading strategies and time delays

Sansone, A; Garofalo, G

Asset price dynamics in a financial market with heterogeneous trading strategies and time delays

Sansone, A Garofalo, G

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Publisher:: Elsevier Science BV
Publication Type:: Journal Article
Citation:: Sansone, A. and Garofalo, G. 2005 'Asset price dynamics in a financial market with heterogeneous trading strategies and time delays', Physica A: Statistical Mechanics and its Applications, vol. 382, no. 1, pp. 266-274.
Issue Date:: 2007

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Field	Value	Language
dc.contributor.author	Sansone, A	en_US
dc.contributor.author	Garofalo, G	en_US
dc.date.accessioned	2009-12-21T02:28:09Z
dc.date.available	2009-12-21T02:28:09Z
dc.date.issued	2007	en_US
dc.identifier	2006015340	en_US
dc.identifier.citation	Sansone, A. and Garofalo, G. 2005 'Asset price dynamics in a financial market with heterogeneous trading strategies and time delays', Physica A: Statistical Mechanics and its Applications, vol. 382, no. 1, pp. 266-274.	en_US
dc.identifier.issn	0378-4371	en_US
dc.identifier.other	C1	en_US
dc.identifier.uri	http://hdl.handle.net/10453/3467
dc.description.abstract	In this paper we present a continuous time dynamical model of heterogeneous agents interacting in a financial market where transactions are cleared by a market maker. The market is composed of fundamentalist, trend following and contrarian agents who pro	en_US
dc.publisher	Elsevier Science BV	en_US
dc.relation.ispartof	Verified OK	en_US
dc.relation.ispartof	Physica A: Statistical Mechanics and its Applications	en_US
dc.relation.isbasedon	http://dx.doi.org/10.1016/j.physa.2007.02.022	en_US
dc.subject	Dynamic asser procomg; heterogeneous agents; complex dynamics; chaos; stock market dynamics	en_US
dc.subject.classification	Mathematical Physics	en_US
dc.title	Asset price dynamics in a financial market with heterogeneous trading strategies and time delays	en_US
dc.type	Journal article
utslib.citation.volume	382	en_US
utslib.citation.number	1	en_US
utslib.location	Netherlands	en_US
utslib.citation.startpage	247	en_US
utslib.citation.endpage	257	en_US
utslib.identifier.org	BUS.School of Finance and Economics	en_US
utslib.for	010500	en_US
utslib.percentage	100	en_US
dc.location.activity	ISI:000247993000031	en_US
utslib.copyright.status	closed_access
pubs.declined	1970-01-01T00:00:00.0+1000

Abstract:

In this paper we present a continuous time dynamical model of heterogeneous agents interacting in a financial market where transactions are cleared by a market maker. The market is composed of fundamentalist, trend following and contrarian agents who pro

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http://hdl.handle.net/10453/3467