مدل‏سازی عامل‏گرای رفتار سهام‏داران در بازار سرمایه ایران

References

Arthur W. B. (2004). Inductive Reasoning and Bounded Rationality., The American Economic Review, 84 (2), 406-411.

Bak, P., Paczuski, M., & Shubik, M. (1997). Price variations in a stock market with many agents. Physica A: Statistical Mechanics and its Applications, 246 (3-4), 430-453.

Bianchi, C., Cirillo, P., Gallegati, M., & Vagliasindi, P. A. (2007). Validating and calibrating agent-based models: a case study. Computational Economics, 30 (3), 245-264.

Caldarelli, G., Marsili, M. & Zhang, Y. C. (1997).A prototype model of stock exchange. EPL (Europhysics Letters), 40 (5), 479-484.

Chen S., Chen H. & Yeh C. (2001). Evolving Traders and the Business School With Genetic Programming: A New Architecture of the Agent-Based Artificial Stock Market, Journal of Economic Dynamics and Control, 25, 363-393.

De la Maza M. & Yuret D (1995) .A Model of Stock Participants In Birthahn J. and Nissen V., eds., Evolutionary Algorithms in Management Applications, Springer Verlag, Heidelberg, 290-304.

DeLong J.B., Schleifer, A., Summers, L. H. & Waldmann, R. (1991). The Survival of Noise Traders in Financial Markets, Journal of Business, 64, 1-19.

Fagiolo, G., Windrum, P., & Moneta, A. (2006). Empirical validation of agent-based models: A critical survey (No. 2006/14). LEM Working Paper Series.

Farmer, J. D., & Joshi, S. (2002). The price dynamics of common trading strategies. Journal of Economic Behavior & Organization, 49 (2), 149-171.

Franses, P. H., & Van Dijk, D. (2000). Non-linear time series models in empirical finance. Cambridge University Press.

Gilbert N., and Troitzsch K. (2008). Simulation For The Social Scientist, New York: Open University Press.

Krichene, H., & El-Aroui, M. A. (2017). Artificial stock markets with different maturity levels: simulation of information asymmetry and herd behavior using agent-based and network models. Journal of Economic Interaction and Coordination, 1-25

Hommes, C. H. (2006). Heterogeneous agent models in economics and finance. Handbook of computational economics, 2, 1109-1186.

Joshi, S., & Bedau, M. A. (1998).An explanation of generic behavior in an evolving financial market.Complex Systems, 98, 326-332.

Keles, D., Bublitz, A., Zimmermann, F., Genoese, M., & Fichtner, W. (2016). Analysis of design options for the electricity market: The German case. Applied energy, 183, 884-901.

LeBaron, B. (2006). Agent-based computational finance. Handbook of computational economics, 2, 1187-1233.

Lux, T. (1998). The Socio-economic Dynamics of Speculative Markets: Interacting Agents, chaos, and the Fat Tails of Return Distributions, Journal ofEconomic Behavior and organization, 33, 143-165.

Lux, T., & Marchesi, M. (2000). Volatility clustering in financial markets: a microsimulation of interacting agents. International journal of theoretical and applied finance, 3 (04), 675-702.

Macal, C. M., & North, M. J. (2005).Tutorial on agent-based modeling and simulation.In Simulation conference, 2005 proceedings of the winter (pp. 14-pp).IEEE.

Ponta, L., Pastore, S., & Cincotti, S. (2018). Static and dynamic factors in an information-based multi-asset artificial stock market. Physica A: Statistical Mechanics and its Applications, 492, 814-823.

Rastegar, M., Saedi Far, K. (2017). Optimal Execution Strategy: An Agent-based Approach. FinancialResearchJournal, 9 (2), 262-239.(in persian)

Roberto, M., Cincotti, S., Focardi, S. M., & Marchesi, M. (2001).Traders' long-run wealth in an artificial financial market. Computational Economics, 22 (2-3), 255-272.

Roozmand O., and Webster D. (2014) “Consumer Choice and aggregate demand: AnABM approach to understanding the impacts of satisficing behavior ”, International Journal of Agent Technologies and Systems (IJATS), 6 (4), 1-18.

Sa'idi, A. & Farhanian, S. M. J. (2015). Basics of Behavioral Economics and Finance. Tehran: Exchange. (in Persian)

Shatner, M., Muchnik, L., Leshno, M., & Solomon, S. (2000). A continuous time asynchronous model of the stock market; beyond the lls model. arXiv preprint cond-mat/0005430.

Youssefmir, M., Huberman, B. A., & Hogg, T. (1998). Bubbles and market crashes. Computational Economics, 12 (2), 97-114.

References

Arthur W. B. (2004). Inductive Reasoning and Bounded Rationality., The American Economic Review, 84 (2), 406-411.

Bak, P., Paczuski, M., & Shubik, M. (1997).Price variations in a stock market with many agents. Physica A: Statistical Mechanics and its Applications, 246 (3-4), 430-453.

Bianchi, C., Cirillo, P., Gallegati, M., & Vagliasindi, P. A. (2007). Validating and calibrating agent-based models: a case study. Computational Economics, 30 (3), 245-264.

Caldarelli, G., Marsili, M. & Zhang, Y. C. (1997).A prototype model of stock exchange.EPL (Europhysics Letters), 40 (5), 479-484.

Chen S., Chen H. & Yeh C. (2001). Evolving Traders and the Business School With Genetic Programming: A New Architecture of the Agent-Based Artificial Stock Market, Journal of Economic Dynamics and Control, 25,363-393.

De la Maza M. & Yuret D (1995) .A Model of Stock Participants In Birthahn J. and Nissen V., eds., Evolutionary Algorithms in Management Applications, Springer Verlag, Heidelberg, 290-304.

DeLong J.B., Schleifer, A., Summers, L. H. & Waldmann, R. (1991). The Survival of Noise Traders in Financial Markets, Journal of Business, 64, 1-19.

Fagiolo, G., Windrum, P., & Moneta, A. (2006).Empirical validation of agent-based models: A critical survey (No. 2006/14). LEM Working Paper Series.

Farmer, J. D., & Joshi, S. (2002). The price dynamics of common trading strategies.Journal of Economic Behavior & Organization, 49 (2), 149-171.

Franses, P. H., & Van Dijk, D. (2000).Non-linear time series models in empirical finance. Cambridge University Press.

Gilbert N., and Troitzsch K. (2008). Simulation For The Social Scientist, New York: Open University Press.

Krichene, H., & El-Aroui, M. A. (2017). Artificial stock markets with different maturity levels: simulation of information asymmetry and herd behavior using agent-based and network models. Journal of Economic Interaction and Coordination, 1-25

Hommes, C. H. (2006). Heterogeneous agent models in economics and finance. Handbook of computational economics, 2, 1109-1186.

Joshi, S., & Bedau, M. A. (1998).An explanation of generic behavior in an evolving financial market.Complex Systems, 98, 326-332.

Keles, D., Bublitz, A., Zimmermann, F., Genoese, M., & Fichtner, W. (2016). Analysis of design options for the electricity market: The German case. Applied energy, 183, 884-901.

LeBaron, B. (2006). Agent-based computational finance. Handbook of computational economics, 2, 1187-1233.

Lux, T. (1998). The Socio-economic Dynamics of Speculative Markets: Interacting Agents, chaos, and the Fat Tails of Return Distributions, Journal ofEconomic Behavior and organization, 33, 143-165.

Lux, T., & Marchesi, M. (2000). Volatility clustering in financial markets: a microsimulation of interacting agents. International journal of theoretical and applied finance, 3 (04), 675-702.

Macal, C. M., & North, M. J. (2005).Tutorial on agent-based modeling and simulation.In Simulation conference, 2005 proceedings of the winter (pp. 14-pp).IEEE.

Ponta, L., Pastore, S., & Cincotti, S. (2018). Static and dynamic factors in an information-based multi-asset artificial stock market.Physica A: Statistical Mechanics and its Applications, 492, 814-823.

Rastegar, M., Saedi Far, K. (2017). Optimal Execution Strategy: An Agent-based Approach. FinancialResearchJournal, 9 (2), 262-239.(in persian)

Roberto, M., Cincotti, S., Focardi, S. M., & Marchesi, M. (2001).Traders' long-run wealth in an artificial financial market.Computational Economics, 22 (2-3), 255-272.

Roozmand O., and Webster D. (2014) “Consumer Choice and aggregate demand: AnABM approach to understanding the impacts of satisficing behavior ”, International Journal of Agent Technologies and Systems (IJATS), 6 (4), 1-18.

Sa'idi, A. & Farhanian, S. M. J. (2015). Basics of Behavioral Economics and Finance. Tehran: Exchange. (in Persian)

Shatner, M., Muchnik, L., Leshno, M., & Solomon, S. (2000). A continuous time asynchronous model of the stock market; beyond the lls model.arXiv preprint cond-mat/0005430.

Youssefmir, M., Huberman, B. A., & Hogg, T. (1998). Bubbles and market crashes. Computational Economics, 12 (2), 97-114.