Effects of diversification among assets in an agent-based market model

Details Effects of diversification among assets in an agent-based market model Effects of diversification among assets in an agent-based market model

2007-12-21

arxiv.org/abs/0712.3611v1

Economy

Quantitative Finance

Trading and Market Microstructure

12 pages, 5 figures, accepted for publication in the Proceedings of the Complex Systems II Conference at the Australian Nation

Scientific paper

10.1117/12.758912

We extend to the multi-asset case the framework of a discrete time model of a single asset financial market developed in Ghoulmie et al (2005). In particular, we focus on adaptive agents with threshold behavior allocating their resources among two assets. We explore numerically the effect of this diversification as an additional source of complexity in the financial market and we discuss its destabilizing role. We also point out the relevance of these studies for financial decision making.

Affiliated with

Also associated with

No associations

Rating

Effects of diversification among assets in an agent-based market model does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Effects of diversification among assets in an agent-based market model, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Effects of diversification among assets in an agent-based market model will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-695840