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Heterogeneous Round-Trip Trading and the Emergence of Volatility Clustering in Speculation Game |
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| Authors: | Katahira Kei Chen Yu |
| Institution: | 1.Faculty of Engineering, Information and Systems, University of Tsukuba, Tennodai 1-1-1, Tsukuba, Ibaraki, 305-8573, Japan ;2.Research Fellow of Japan Society for the Promotion of Science, Tokyo, Japan ;3.Graduate School of Frontier Sciences, The University of Tokyo, 5-1-5 Kashiwanoha, Kashiwa-shi, Chiba-ken, 277-8563, Japan ; |
| Abstract: | Journal of Systems Science and Complexity - This study is a detailed analysis of Speculation Game, a simple agent-based model of financial markets, in which the round-trip trading and the dynamic... |
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