create a website

Heterogeneity and Self-Organization of Complex Systems Through an Application to Financial Market with Multiagent Systems. (2017). Bertelle, Cyrille ; Cotsaftis, Michel ; Lucas, Iris.
In: Post-Print.
RePEc:hal:journl:hal-02114933.

Full description at Econpapers || Download paper

Cited: 1

Citations received by this document

Cites: 30

References cited by this document

Cocites: 55

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Self-Organization, Resilience and Robustness of Complex Systems Through an Application to Financial Market from an Agent-Based Approach. (2018). Bertelle, Cyrille ; Cotsaftis, Michel ; Lucas, Iris.
    In: Post-Print.
    RePEc:hal:journl:hal-02114928.

    Full description at Econpapers || Download paper

References

References cited by this document

    References contributed by pfo235-2792777

  1. Arthur, W. B., Holland, J. H., LeBaron, B., Palmer, R. G. & Tayler, P. [1996] "Asset pricing under endogenous expectations in an artificial stock market." Bartolozzi, M. [2010] "A multi agent model for the limit order book dynamics," Eur. Phys. J. B — Condens. Matt. Compl. Syst. 78, 265–273.

  2. Caldarelli, G., Marsili, M. & Zhang, Y. C. [1997] "A prototype model of stock exchange," Europhys. Lett. 40, 479.

  3. Challet, D., Marsili, M. & Zhang, Y. C. [2001] "Stylized facts of financial markets and market crashes in minority games," Physica A: Statist. Mech. Appl. 294, 514–524.

  4. Chiarella, C. & Iori, G. [2002] "A simulation analysis of the microstructure of double auction markets*," Quantit. Finan. 2, 346–353.

  5. Chiarella, C., Iori, G. & Perell, J. [2009] "The impact of heterogeneous trading rules on the limit order book and order flows," J. Econ. Dyn. Contr. 33, 525–537.

  6. Clearwater, S. H. (ed.) [1996] Market-Based Control: A Paradigm for Distributed Resource Allocation (World Scientific).
    Paper not yet in RePEc: Add citation now
  7. Cliff, D. [1997] "Minimal-intelligence agents for bargaining behaviors in market-based environments," Hewlett-Packard Labs Technical Reports.
    Paper not yet in RePEc: Add citation now
  8. Cristelli, M., Alfi, V., Pietronero, L. & Zaccaria, A. [2010] "Liquidity crisis, granularity of the order book and price fluctuations," Eur. Phys. J. B — Condens. Matt. Compl. Syst. 73, 41–49. in Financial Markets: Modeling Psychological Behavior in Agent-Based Models and Order Book Models (Springer Science & Business Media).

  9. Dobson, I., Carreras, B. A., Lynch, V. E. & Newman, D. E. [2007] "Complex systems analysis of series of blackouts: Cascading failure, critical points, and self-organization," Chaos 17, 026103.
    Paper not yet in RePEc: Add citation now
  10. Farmer, J. D., Patelli, P. & Zovko, I. I. [2005] "The predictive power of zero intelligence in financial markets," Proc. Natl. Acad. Sci. USA 102, 2254–2259.

  11. Gjerstad, S. & Dickhaut, J. [1998] "Price formation in double auctions," Games Econ. Behav. 22, 1–29.

  12. Grimm, V. & Railsback, S. F. [2005] Individual-Based Modeling and Ecology, Vol. 2005 (Princeton University Press, Princeton).
    Paper not yet in RePEc: Add citation now
  13. Grossman, S. J. & Stiglitz, J. E. [1980] "On the impossibility of informationally efficient markets," Amer. Econ. Rev. 70, 393–408.

  14. Hoopes, D., Madsen, T. & Walker, G. [2003] "Why is there a resource-based view: Getting closer to a theory of competitive heterogeneity," Strat. Manag. J. 24, 889–902.
    Paper not yet in RePEc: Add citation now
  15. Kim, G. R. & Markowitz, H. M. [1989] "Investment rules, margin, and market volatility," J. Portfolio Manag. 16, 45–52.
    Paper not yet in RePEc: Add citation now
  16. Leal, S. J. & Napoletano, M. [2017] "Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading," J. Econ. Behav. Organiz.

  17. LeBaron, B. [2001] "A builders guide to agent-based financial markets," Quantit. Finan. 1, 254–261.

  18. LeBaron, B. [2006] "Agent-based computational finance," Handbook of Computational Economics, Vol. 2, pp. 1187–1233.

  19. Lettau, M. [1997] "Explaining the facts with adaptive agents: The case of mutual fund flows," J. Econ. Dyn. Contr. 21, 1117–1147.

  20. Lichtenstein, B. B. & Plowman, D. A. [2009] "The leadership of emergence: A complex systems leadership theory of emergence at successive organizational levels," Leadership Quart. 20, 617–630.
    Paper not yet in RePEc: Add citation now
  21. Lux, T. & Marchesi, M. [1999] "Scaling and criticality in a stochastic multi-agent model of a financial market," Nature 397, 498.

  22. Macal, C. M. & North, M. J. [2010] "Tutorial on agent-based modelling and simulation," J. Simul. 4, 151–162.
    Paper not yet in RePEc: Add citation now
  23. Miller, J. H. & Page, S. E. [2009] Complex Adaptive Systems: An Introduction to Computational Models of Social Life (Princeton University Press).
    Paper not yet in RePEc: Add citation now
  24. Peteraf, M. A. & Bergen, M. E. [2003] "Scanning dynamic competitive landscapes: A market-based and resource-based framework," Strat. Manag. J. 24, 1027–1041.

  25. Raberto, M., Cincotti, S., Focardi, S. M. & Marchesi, M. [2001] "Agent-based simulation of a financial market," Physica A: Statist. Mech. Appl. 299, 319–327.

  26. Routledge, B. R. [1999] "Adaptive learning in financial markets," Rev. Finan. Stud. 12, 1165–1202.

  27. Van den Berg, J., Kaymak, U. & Van den Bergh, W. M. [2004] "Financial markets analysis by using a probabilistic fuzzy modelling approach," Int. J. Approx. Reas. 35, 291–305.

  28. Vytelingum, P., Cliff, D. & Jennings, N. R. [2008] "Strategic bidding in continuous double auctions," Artif. Intell. 172, 1700–1729.
    Paper not yet in RePEc: Add citation now
  29. Wooldridge, M. [2009] An Introduction to Multi-Agent Systems (John Wiley & Sons).
    Paper not yet in RePEc: Add citation now
  30. Yamamoto, R. [2011] "Order aggressiveness, pre-trade transparency, and long memory in an order-driven market," J. Econ. Dyn. Contr. 35, 1938–1963.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Stock Price Formation: Precepts from a Multi-Agent Reinforcement Learning Model. (2023). Bourgeois-Gironde, Sacha ; Vrizzi, Stefano ; Palminteri, Stefano ; Lussange, Johann ; Gutkin, Boris.
    In: Computational Economics.
    RePEc:kap:compec:v:61:y:2023:i:4:d:10.1007_s10614-022-10249-3.

    Full description at Econpapers || Download paper

  2. Dealer Strategies in Agent-Based Models. (2023). Ostrovsky, Wladimir.
    In: Papers.
    RePEc:arx:papers:2312.05943.

    Full description at Econpapers || Download paper

  3. Manipulation of the Bitcoin market: an agent-based study. (2022). Engers, Tom ; Klous, Sander ; Fratri, Peter ; Sileno, Giovanni.
    In: Financial Innovation.
    RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00364-3.

    Full description at Econpapers || Download paper

  4. Financial Return Distributions: Past, Present, and COVID-19. (2021). Zd, Stanislaw Dro ; Wkatorek, Marcin ; Kwapie, Jaroslaw.
    In: Papers.
    RePEc:arx:papers:2107.06659.

    Full description at Econpapers || Download paper

  5. Herding or wisdom of the crowd? Controlling efficiency in a partially rational financial market. (2020). de Lellis, Pietro ; Giannini, Lorenzo ; della Rossa, Fabio.
    In: PLOS ONE.
    RePEc:plo:pone00:0239132.

    Full description at Econpapers || Download paper

  6. Dynamic Coupling and Market Instability. (2020). Court, Elias ; Zaparanuks, Dmitrijs ; Clack, Christopher D.
    In: Papers.
    RePEc:arx:papers:2005.13621.

    Full description at Econpapers || Download paper

  7. Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading. (2019). Napoletano, Mauro ; Leal, Sandrine Jacob.
    In: Sciences Po publications.
    RePEc:spo:wpmain:info:hdl:2441/6ummnc8nko827b2luohnctekk7.

    Full description at Econpapers || Download paper

  8. Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading. (2019). Napoletano, Mauro ; Leal, Sandrine Jacob.
    In: SciencePo Working papers Main.
    RePEc:hal:spmain:hal-03403589.

    Full description at Econpapers || Download paper

  9. Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading. (2019). Napoletano, Mauro ; Leal, Sandrine Jacob.
    In: Post-Print.
    RePEc:hal:journl:hal-03403589.

    Full description at Econpapers || Download paper

  10. Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading. (2019). Napoletano, Mauro ; Leal, Sandrine Jacob.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:157:y:2019:i:c:p:15-41.

    Full description at Econpapers || Download paper

  11. A Tale of Two Consequences: Intended and Unintended Outcomes of the Japan TOPIX Tick Size Changes. (2019). Kashyap, Ravi.
    In: Papers.
    RePEc:arx:papers:1602.00839.

    Full description at Econpapers || Download paper

  12. Self-Organization, Resilience and Robustness of Complex Systems Through an Application to Financial Market from an Agent-Based Approach. (2018). Bertelle, Cyrille ; Cotsaftis, Michel ; Lucas, Iris.
    In: Post-Print.
    RePEc:hal:journl:hal-02114928.

    Full description at Econpapers || Download paper

  13. Heterogeneity and Self-Organization of Complex Systems Through an Application to Financial Market with Multiagent Systems. (2017). Bertelle, Cyrille ; Cotsaftis, Michel ; Lucas, Iris.
    In: Post-Print.
    RePEc:hal:journl:hal-02114933.

    Full description at Econpapers || Download paper

  14. Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading. (2017). Napoletano, Mauro ; Leal, Sandrine Jacob.
    In: Post-Print.
    RePEc:hal:journl:hal-01768876.

    Full description at Econpapers || Download paper

  15. Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent Based Model with Low- and High-Frequency Trading. (2016). Napoletano, Mauro ; Leal, Sandrine Jacob.
    In: LEM Papers Series.
    RePEc:ssa:lemwps:2016/15.

    Full description at Econpapers || Download paper

  16. Rock around the clock: An agent-based model of low- and high-frequency trading. (2016). Roventini, Andrea ; Napoletano, Mauro ; Fagiolo, Giorgio ; Leal, Sandrine Jacob.
    In: Journal of Evolutionary Economics.
    RePEc:spr:joevec:v:26:y:2016:i:1:p:49-76.

    Full description at Econpapers || Download paper

  17. Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High- Frequency Trading. (2016). Napoletano, Mauro ; Leal, Sandrine Jacob.
    In: Sciences Po publications.
    RePEc:spo:wpmain:info:hdl:2441/3utlh0ehcn860pus6p2p683ade.

    Full description at Econpapers || Download paper

  18. Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High- Frequency Trading. (2016). Napoletano, Mauro ; Leal, Sandrine Jacob.
    In: Working Papers.
    RePEc:hal:wpaper:hal-03459346.

    Full description at Econpapers || Download paper

  19. Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High- Frequency Trading. (2016). Napoletano, Mauro ; Leal, Sandrine Jacob.
    In: SciencePo Working papers Main.
    RePEc:hal:spmain:hal-03459346.

    Full description at Econpapers || Download paper

  20. Market stability vs. Market resilience : Regulatory policies experiments in an agent based model with low-and high -frequency trading. (2016). Napoletano, Mauro ; Leal, Sandrine Jacob.
    In: Documents de Travail de l'OFCE.
    RePEc:fce:doctra:16012.

    Full description at Econpapers || Download paper

  21. Equilibrium pricing in an order book environment: Case study for a spin model. (2016). Guhr, Thomas ; Schmitt, Thilo A ; Schafer, Rudi ; Meudt, Frederik .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:453:y:2016:i:c:p:228-235.

    Full description at Econpapers || Download paper

  22. Quantifying the contagion effect of the 2008 financial crisis between the G7 countries (by GDP nominal). (2016). PEREIRA, EDER JOHNSON DE AREA ; da Silva, Marcus Fernandes ; Vivas, Jose Garcia ; Zebende, Gilney Figueira ; de Area, Eder Johnson ; Nunes, Arleys Pereira .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:453:y:2016:i:c:p:1-8.

    Full description at Econpapers || Download paper

  23. Equilibrium Pricing in an Order Book Environment: Case Study for a Spin Model. (2015). Guhr, Thomas ; SCHMITT, THILO A. ; Schafer, Rudi ; Meudt, Frederik .
    In: Papers.
    RePEc:arx:papers:1502.01125.

    Full description at Econpapers || Download paper

  24. Rock around the clock: an agent-based model of low- and high-frequency trading. (2014). Roventini, Andrea ; Napoletano, Mauro ; Fagiolo, Giorgio ; Leal, Sandrine Jacob.
    In: Sciences Po publications.
    RePEc:spo:wpmain:info:hdl:2441/f6h8764enu2lskk9p4oq9ig8k.

    Full description at Econpapers || Download paper

  25. Predictable markets? A news-driven model of the stock market. (2014). Zhilyaev, Maxim ; Gusev, Maxim ; Ushanov, Dmitry ; Kroujiline, Dimitri ; Govorkov, Boris ; Sharov, Sergey V..
    In: MPRA Paper.
    RePEc:pra:mprapa:58831.

    Full description at Econpapers || Download paper

  26. Understanding agent-based models of financial markets: A bottom–up approach based on order parameters and phase diagrams. (2012). Tan, James Peng Lung, ; Cheong, Siew Ann ; Lye, Ribin .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:391:y:2012:i:22:p:5521-5531.

    Full description at Econpapers || Download paper

  27. Memory effects in stock price dynamics: evidences of technical trading. (2011). Cristelli, Matthieu ; Pietronero, Luciano ; Garzarelli, Federico ; Zaccaria, Andrea.
    In: Papers.
    RePEc:arx:papers:1110.5197.

    Full description at Econpapers || Download paper

  28. Stochastic Price Dynamics Implied By the Limit Order Book. (2011). Punchev, Yanko ; Langnau, Alex .
    In: Papers.
    RePEc:arx:papers:1105.4789.

    Full description at Econpapers || Download paper

  29. Leverage Causes Fat Tails and Clustered Volatility. (2010). Thurner, Stefan ; Farmer, J. ; Geanakoplos, John.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1745.

    Full description at Econpapers || Download paper

  30. Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior. (2010). Challet, Damien ; de Lachapelle, David Morton .
    In: Papers.
    RePEc:arx:papers:0912.4723.

    Full description at Econpapers || Download paper

  31. The Virtues and Vices of Equilibrium and the Future of Financial Economics. (2008). Farmer, J. ; Geanakoplos, John.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1647.

    Full description at Econpapers || Download paper

  32. Impact of investor’s varying risk aversion on the dynamics of asset price fluctuations. (2006). Chen, Kan ; Yuan, Baosheng.
    In: Journal of Economic Interaction and Coordination.
    RePEc:spr:jeicoo:v:1:y:2006:i:2:p:189-214.

    Full description at Econpapers || Download paper

  33. Minority Game of price promotions in fast moving consumer goods markets. (2005). Groot, Robert D. ; Musters, Pieter A. D., .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:350:y:2005:i:2:p:533-547.

    Full description at Econpapers || Download paper

  34. Limited profit in predictable stock markets. (2005). Rothenstein, Roland ; Pawelzik, Klaus.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:348:y:2005:i:c:p:419-427.

    Full description at Econpapers || Download paper

  35. Impact of Investors Varying Risk Aversion on the Dynamics of Asset Price Fluctuations. (2005). Chen, Kan ; Yuan, Baosheng.
    In: Papers.
    RePEc:arx:papers:physics/0506224.

    Full description at Econpapers || Download paper

  36. From a market of dreamers to economical shocks. (2004). Owhadi, Houman.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:343:y:2004:i:c:p:583-602.

    Full description at Econpapers || Download paper

  37. Evolution and anti-evolution in a minimal stock market model. (2003). Rothenstein, R ; Pawelzik, K.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:326:y:2003:i:3:p:534-543.

    Full description at Econpapers || Download paper

  38. Market force, ecology and evolution. (2002). Farmer, J..
    In: Industrial and Corporate Change.
    RePEc:oup:indcch:v:11:y:2002:i:5:p:895-953.

    Full description at Econpapers || Download paper

  39. A microsimulation of traders activity in the stock market: the role of heterogeneity, agents interactions and trade frictions. (2002). Iori, Giulia.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:49:y:2002:i:2:p:269-285.

    Full description at Econpapers || Download paper

  40. The price dynamics of common trading strategies. (2002). Farmer, J. ; Joshi, Shareen.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:49:y:2002:i:2:p:149-171.

    Full description at Econpapers || Download paper

  41. EVOLUTION AND TIME HORIZONS IN AN AGENT-BASED STOCK MARKET. (2001). Lebaron, Blake.
    In: Macroeconomic Dynamics.
    RePEc:cup:macdyn:v:5:y:2001:i:02:p:225-254_01.

    Full description at Econpapers || Download paper

  42. A SIMPLE MODEL FOR THE NONEQUILIBRIUM DYNAMICS AND EVOLUTION OF A FINANCIAL MARKET. (2000). Farmer, J..
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:03:y:2000:i:03:n:s0219024900000346.

    Full description at Econpapers || Download paper

  43. The Price Dynamics of Common Trading Strategies. (2000). Farmer, J. ; Joshi, Shareen.
    In: Working Papers.
    RePEc:wop:safiwp:00-12-069.

    Full description at Econpapers || Download paper

  44. Physics of fashion fluctuations. (2000). Souza, S. R. ; Donangelo, R. ; Sneppen, K. ; Hansen, A..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:287:y:2000:i:3:p:539-545.

    Full description at Econpapers || Download paper

  45. Non-equilibrium price theories. (2000). Helbing, Dirk ; Kern, Daniel .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:287:y:2000:i:1:p:259-268.

    Full description at Econpapers || Download paper

  46. Exact solution of a modified El Farols bar problem: Efficiency and the role of market impact. (2000). Challet, Damien ; Zecchina, Riccardo ; Marsili, Matteo.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:280:y:2000:i:3:p:522-553.

    Full description at Econpapers || Download paper

  47. The price dynamics of common trading strategies. (2000). Farmer, J. ; Joshi, Shareen.
    In: Papers.
    RePEc:arx:papers:cond-mat/0012419.

    Full description at Econpapers || Download paper

  48. Identifying the bottom line after a stock market crash. (1999). Roehner, B. M..
    In: Papers.
    RePEc:arx:papers:cond-mat/9910213.

    Full description at Econpapers || Download paper

  49. Fundamental Framework for Technical Analysis. (1999). Gluzman, S. ; Andersen, J. V. ; Sornette, D..
    In: Papers.
    RePEc:arx:papers:cond-mat/9910047.

    Full description at Econpapers || Download paper

  50. An Explanation of Generic Behavior in an Evolving Financial Market. (1998). Joshi, Shareen ; Bedau, Mark A..
    In: Research in Economics.
    RePEc:wop:safire:98-12-114e.

    Full description at Econpapers || Download paper

  51. Elements for a theory of financial risks. (1998). Bouchaud, Jean-Philippe.
    In: Science & Finance (CFM) working paper archive.
    RePEc:sfi:sfiwpa:500042.

    Full description at Econpapers || Download paper

  52. Herd behavior and aggregate fluctuations in financial markets. (1998). Cont, Rama ; Bouchaud, Jean-Philippe.
    In: Papers.
    RePEc:arx:papers:cond-mat/9712318.

    Full description at Econpapers || Download paper

  53. Herd behavior and aggregate fluctuations in financial markets. (1997). Cont, Rama ; Bouchaud, Jean-Philippe.
    In: Finance.
    RePEc:wpa:wuwpfi:9712008.

    Full description at Econpapers || Download paper

  54. Herd behavior and aggregate fluctuations in financial markets. (1997). Cont, Rama ; Bouchaud, Jean-Philippe.
    In: Science & Finance (CFM) working paper archive.
    RePEc:sfi:sfiwpa:500028.

    Full description at Econpapers || Download paper

  55. Too much cocited documents. This list is not complete

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-25 01:46:15 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.