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Agent-based model generating stylized facts of fixed income markets |
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| Authors: | Kopp Antoine Westphal Rebecca Sornette Didier |
| Institution: | 1.Department of Mechanical and Process Engineering, ETH Zürich, Leonhardstrasse 21, CH-8092, Zürich, Switzerland ;2.Department of Management, Technology and Economics, ETH Zürich, Scheuchzerstrasse 7, CH-8092, Zürich, Switzerland ;3.Institute of Risk Analysis, Prediction and Management, Academy for Advanced Interdisciplinary Studies, Southern University of Science and Technology (SUSTech), Shenzhen, 518055, China ;4.Institute of Innovative Research, Tokyo Tech World Research Hub Initiative (WRHI), Tokyo Institute of Technology, Tokyo, Japan ; |
| Abstract: | Journal of Economic Interaction and Coordination - We develop an agent-based model (ABM) of a financial market with multiple assets belonging either to the fixed income or equity asset classes. The... |
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