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Effects of diversification among assets in an agent-based market model

Ghoulmie, Francois; Bartolozzi, M; Mellen, C; Di Matteo, Tiziana


We extend to the multi-asset case the framework of a discrete time model of a single asset financial market developed in GhoulmiƩ et al.1 In particular, we focus on adaptive agents with threshold behavior allocating their resources among two assets. We e

CollectionsANU Research Publications
Date published: 2008
Type: Conference paper
Source: Complex Systems II (Proceedings of SPIE Vol. 6802 )
DOI: 10.1117/12.758912


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