Asset price dynamics in a financial market with heterogeneous trading strategies and time delays
- Elsevier Science BV
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- Journal Article
- 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.
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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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