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

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

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

dc.contributor.authorGhoulmie, Francois
dc.contributor.authorBartolozzi, M
dc.contributor.authorMellen, C
dc.contributor.authorDi Matteo, Tiziana
dc.coverage.spatialCanberra Australia
dc.date.accessioned2015-12-10T22:13:55Z
dc.date.createdJanuary 2008
dc.identifier.isbn0277-786X
dc.identifier.urihttp://hdl.handle.net/1885/49995
dc.description.abstractWe extend to the multi-asset case the framework of a discrete time model of a single asset financial market developed in Ghoulmié et al.1 In particular, we focus on adaptive agents with threshold behavior allocating their resources among two assets. We e
dc.publisherSPIE - The International Society for Optical Engineering
dc.relation.ispartofseriesAsia-Pacific Complex Systems Conference (Complex 2008)
dc.sourceComplex Systems II (Proceedings of SPIE Vol. 6802 )
dc.subjectKeywords: Decision making; Financial data processing; Industrial management; Large scale systems; Strategic planning; Agent based models; Diversification; Financial markets; Multi asset market models; Stylized facts; Asset management Agent-based model; Business and management; Complex systems; Diversification; Financial markets; Multi-asset market model; Stability; Stylized facts
dc.titleEffects of diversification among assets in an agent-based market model
dc.typeConference paper
local.description.notesImported from ARIES
local.description.refereedYes
dc.date.issued2008
local.identifier.absfor020405 - Soft Condensed Matter
local.identifier.ariespublicationu9210271xPUB195
local.type.statusPublished Version
local.contributor.affiliationGhoulmie, Francois, College of Physical and Mathematical Sciences, ANU
local.contributor.affiliationBartolozzi, M, Gringham Managed Funds
local.contributor.affiliationMellen, C, Gringham Managed Funds
local.contributor.affiliationDi Matteo, Tiziana, College of Physical and Mathematical Sciences, ANU
local.description.embargo2037-12-31
local.identifier.doi10.1117/12.758912
dc.date.updated2015-12-09T08:01:23Z
local.identifier.scopusID2-s2.0-41149105328
CollectionsANU Research Publications

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