72 citations · 292 across the 19 of their papers we have counts for
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q-fin.TR2010★ 31 cited
Statistical properties of agent-based models in markets with continuous double auction mechanism
Jie-Jun Tseng, Chih-Hao Lin, Chih-Ting Lin +2
Real world markets display power-law features in variables such as price fluctuations in stocks. To further understand market behavior, we have conducted a series of market experim…
q-fin.ST2010★ 43 cited
Asset returns and volatility clustering in financial time series
Jie-Jun Tseng, Sai-Ping Li
An analysis of the stylized facts in financial time series is carried out. We find that, instead of the heavy tails in asset return distributions, the slow decay behaviour in autoc…
physics.soc-ph2010★ 15 cited
Experimental evidence for the interplay between individual wealth and transaction network
Jie-Jun Tseng, Sai-Ping Li, Sun-Chong Wang
We conduct a market experiment with human agents in order to explore the structure of transaction networks and to study the dynamics of wealth accumulation. The experiment is carri…