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q-fin.TR2016★ 30 cited
Modelling and Measuring the Irrational behaviour of Agents in Financial Markets: Discovering the Psychological Soliton
Gurjeet Dhesi, Marcel Ausloos
Following a Geometrical Brownian Motion extension into an Irrational Fractional Brownian Motion model, we re-examine agent behaviour reacting to time dependent news on the log-retu…
q-fin.TR2011
Semiclosed Pricing Mechanism
Dr. Gurjeet Dhesi, Mohammad Abdul Washad Emambocus, Muhammad Bilal Shakeel
This paper aims at designing the different important components of a semi-closed simulated stock market (pricing mechanism, stock allocation and news generation). The purpose is to…