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

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dc.contributor.author Sansone, Alessandro 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.isbasedon http://dx.doi.org/10.1016/j.physa.2007.02.022 en_US
dc.title Asset price dynamics in a financial market with heterogeneous trading strategies and time delays en_US
dc.parent Physica A: Statistical Mechanics and its Applications en_US
dc.journal.volume 382 en_US
dc.journal.number 1 en_US
dc.publocation Netherlands en_US
dc.identifier.startpage 247 en_US
dc.identifier.endpage 257 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 010500 en_US
dc.personcode 0000035745 en_US
dc.personcode 0000035754 en_US
dc.percentage 100 en_US
dc.classification.name Mathematical Physics en_US
dc.classification.type FOR-08 en_US
dc.location.activity ISI:000247993000031 en_US
dc.description.keywords Dynamic asser procomg; heterogeneous agents; complex dynamics; chaos; stock market dynamics en_US


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