57 citations · 110 across the 7 of their papers we have counts for
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q-fin.TR2014★ 2 cited
Analysis of a decision model in the context of equilibrium pricing and order book pricing
Daniel C. Wagner, Thilo A. Schmitt, Rudi Schäfer +2
An agent-based model for financial markets has to incorporate two aspects: decision making and price formation. We introduce a simple decision model and consider its implications i…
q-fin.TR2012★ 23 cited
Microscopic understanding of heavy-tailed return distributions in an agent-based model
Thilo A. Schmitt, Rudi Schäfer, Michael C. Münnix +1
The distribution of returns in financial time series exhibits heavy tails. In empirical studies, it has been found that gaps between the orders in the order book lead to large pric…