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Lecture Notes in Economics and Mathematical Systems
Since the first multi-agents based market simulations in the nineties, many different artificial stock market models have been developped. There are mainly used to reproduce and understand real markets statistical properties such as fat tails, volatility clustering and positive auto-correlation of absolute returns. Though they share common goals, these market models are most of the time different one from another: some are based on equations, others on complex microstructures, some aredoi:10.1007/978-3-540-73135-1_4 fatcat:4cmqjbtgcrcxff673fm22im5ki