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Jan A. Lipski

Publications and source records attributed to Jan A. Lipski.

2 recordsLinked to original sources
arXiv2013

Agent-Based Stock Market Model with Endogenous Agents' Impact

The three-state agent-based 2D model of financial markets as proposed by Giulia Iori has been extended by introducing increasing trust in the correctly predicting agents, a more realistic consultation procedure as well as a formal validation mechanism. This paper shows that such a model correctly reproduces the three fundamental stylised facts: fat-tail log returns, power-law volatility autocorrelation decay in time and volatility clustering.

q-fin.TR↗
arXiv2013

Trust in foreseeing neighbours - a novel threshold model of financial market

The three-state agent-based 2D model of financial markets in the version proposed by Giulia Iori in 2002 has been herein extended. We have introduced the increase of herding behaviour by modelling the altering trust of an agent in his nearest neighbours. The trust increases if the neighbour has foreseen the price change correctly and the trust decreases in the opposite case. Our version only slightly increases the number of parameters present in the Iori model. This version well reproduces the main stylized facts observed on financial markets. That is, it reproduces log-returns clustering, fat-tail log-returns distribution and power-law decay in time of the volatility autocorrelation function.

q-fin.TR↗