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q-fin.TR2023
Adaptive Agents and Data Quality in Agent-Based Financial Markets
Colin M. Van Oort, Ethan Ratliff-Crain, Brian F. Tivnan +1
We present our Agent-Based Market Microstructure Simulation (ABMMS), an Agent-Based Financial Market (ABFM) that captures much of the complexity present in the US National Market S…
q-fin.ST2023★ 1 cited
Revisiting Cont's Stylized Facts for Modern Stock Markets
Ethan Ratliff-Crain, Colin M. Van Oort, James Bagrow +2
In 2001, Rama Cont introduced a now-widely used set of 'stylized facts' to synthesize empirical studies of financial price changes (returns), resulting in 11 statistical properties…