Agent-based model with asymmetric trading and herding for complex financial systems.

BACKGROUND: For complex financial systems, the negative and positive return-volatility correlations, i.e., the so-called leverage and anti-leverage effects, are particularly important for the understanding of the price dynamics. However, the microscopic origination of the leverage and anti-leverage...

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Bibliographic Details
Main Authors: Jun-Jie Chen, Bo Zheng, Lei Tan
Format: Article
Language:English
Published: Public Library of Science (PLoS) 2013-01-01
Series:PLoS ONE
Online Access:http://europepmc.org/articles/PMC3835857?pdf=render