15 citations · 15 across the 1 of their papers we have counts for
3 papers
q-fin.ST2019
Heterogeneous wealth distribution, round-trip trading and the emergence of volatility clustering in Speculation Game
Kei Katahira, Yu Chen
This study is a detailed analysis of Speculation Game, a minimal agent-based model of financial markets, in which the round-trip trading and the dynamic wealth evolution with varia…
q-fin.ST2019
An extended Speculation Game for the recovery of Hurst exponent of financial time series
Kei Katahira, Yu Chen
The speculation game is an agent-based toy model to investigate the dynamics of the financial market. Our model has achieved the reproduction of 10 of the well-known stylized facts…
q-fin.ST2019★ 15 cited
Development of an agent-based speculation game for higher reproducibility of financial stylized facts
Kei Katahira, Yu Chen, Gaku Hashimoto +1
Simultaneous reproduction of all financial stylized facts is so difficult that most existing stochastic process-based and agent-based models are unable to achieve the goal. In this…