Financial Stylized Facts in the Word of Mouth Model

A Minimal Model of Financial Stylized Facts

Reproducing stylized facts of word-of-mouth with a naturalistic multi-agent model

Word-of-mouth is the interpersonal process by which information about an innovation diffuses in a social system. Little empirical data is available from the field. Nevertheless, several stylized facts are identified and widely accepted. For instance, consumers actively search for information. It is also known that knowledge about incremental innovations diffuses quicker, because part of the kno...

Financial System Performance and Inflation in Iran: Some Stylized Facts

The mutual relationship between financial development, as a multilateral concept, and inflation, as a key indicator of macro-economy is crucial. In this paper, inflation regimes are identified using Markov-Switching approach, and then the finance-inflation mutual relationship is investigated in post-revolution cabinets in Iran (1982-2017). Our findings suggest that there are mutual co-movements...

Dynamics on/in financial markets: dynamical decoupling and stylized facts

Stylized facts can be regarded as constraints for any modeling attempt of price dynamics on a financial market, in that an empirically reasonable model has to reproduce these stylized facts at least qualitatively. The dynamics of market prices is modeled on a macro-level as the result of the dynamic coupling of two dynamical components. The degree of their dynamical decoupling is shown to have ...

Can a Zero-Intelligence Plus Model Explain the Stylized Facts of Financial Time Series Data?

Many agent-based models of financial markets have been able to reproduce certain stylized facts that are observed in actual empirical time series data by using “zero-intelligence” agents whose behaviour is largely random in order to ascertain whether certain phenomena arise from market microstructure as opposed to strategic behaviour. Although these models have been highly successful, it is not...