Output details
11 - Computer Science and Informatics
University of Essex
Output title
Can a zero-intelligence plus model explain the stylized facts of financial time series data?
Type
E - Conference contribution
DOI
-
Name of conference/published proceedings
AAMAS '12 Proceedings of the 11th International Conference on Autonomous Agents and Multiagent Systems - Volume 2.
Volume number
-
Issue number
-
First page of article
653
ISSN of proceedings
-
Year of publication
2012
URL
-
Number of additional authors
2
Additional information
<22>Many stylized facts can be replicated by zero-intelligence models. We show that not all properties can be explained by such, and introduce a new model which additionally incorporates econometric modelling.
Interdisciplinary
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Cross-referral requested
-
Research group
A - Artificial Intelligence
Citation count
-
Proposed double-weighted
No
Double-weighted statement
-
Reserve for a double-weighted output
No
Non-English
No
English abstract
-
