1 citations · 2 across the 3 of their papers we have counts for
3 papers
cs.MA2005
Traders imprint themselves by adaptively updating their own avatar
Gilles Daniel, Lev Muchnik, Sorin Solomon
Simulations of artificial stock markets were considered as early as 1964 and multi-agent ones were introduced as early as 1989. Starting the early 90's, collaborations of economist…
cs.CE2003★ 1 cited
Goodness-of-fit of the Heston model
Gilles Daniel
An analytical formula for the probability distribution of stock-market returns, derived from the Heston model assuming a mean-reverting stochastic volatility, was recently proposed…
cs.CE2003★ 1 cited
Stochastic Volatility in a Quantitative Model of Stock Market Returns
Gilles Daniel
Standard quantitative models of the stock market predict a log-normal distribution for stock returns (Bachelier 1900, Osborne 1959), but it is recognised (Fama 1965) that empirical…