期刊
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
卷 391, 期 4, 页码 1309-1314出版社
ELSEVIER
DOI: 10.1016/j.physa.2011.08.061
关键词
Microfoundations; Agent based models; Stochastic models; Financial markets; Long-range memory
资金
- European program COST Action [MP0801]
We extend Kirman's model by introducing variable event time scale. The proposed flexible time scale is equivalent to the variable trading activity observed in financial markets. Stochastic version of the extended Kirman's agent based model is compared to the nonlinear stochastic models of long-range memory in financial markets. The agent based model providing matching macroscopic description serves as a microscopic reasoning of the earlier proposed stochastic model exhibiting power law statistics. (C) 2011 Elsevier B.V. All rights reserved.
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