most citedAn Agent-Based Model to Explain the Emergence of Stylised Facts in Log Returns

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q-fin.TR2019★ 1 cited

An Agent-Based Model to Explain the Emergence of Stylised Facts in Log Returns

Elena Green, Daniel M. Heffernan

This paper outlines an agent-based model of a simple financial market in which a single asset is available for trade by three different types of traders. The model was first introd…