Titlebook: Complex Systems Modeling and Simulation in Economics and Finance; Shu-Heng Chen,Ying-Fang Kao,Ye-Rong Du Conference proceedings 2018 Sprin

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Modelling Complex Financial Markets Using Real-Time Human–Agent Trading Experimentsshown that (c) realism in experimental design can significantly alter market dynamics—suggesting that, if we want to understand complexity in real financial markets, it is finally time to move away from the simple experimental economics models first introduced in the 1960s.

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Price Volatility on Investor’s Social Networkd their exchange, the greater the volatility of stock price will be. With different network synchronization capabilities, price fluctuations based on the small-world network are larger than those based on the regular network. Similarly, price fluctuations based on the random network are larger than

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Measuring Market Integration: US Stock and REIT Markets, the markets do not share a common factor, consistent with markets not being integrated. We also show that during this period, the GMM tests fail to reject the equality of risk premia, highlighting the joint hypothesis problem. The markets in the latter half of our sample show evidence of both a co