6533b857fe1ef96bd12b4395

RESEARCH PRODUCT

Testing for non-linearity in an artificial financial market: a recurrence quantification approach

Jorge Belaire-franch

subject

Organizational Behavior and Human Resource ManagementEconomics and EconometricsActuarial scienceArtificial neural networkbusiness.industryFinancial marketNon linearityMachine learningcomputer.software_genreArtificial marketTest (assessment)Nonlinear systemEconomicsArtificial intelligencebusinesscomputer

description

Abstract In this paper, earlier work on testing for non-linear dynamics on realizations from an artificial financial market is extended in two ways. On the one hand, Hinich’s bispectral test and White’s neural network test are computed. On the other hand, a recently developed methodology to test for hidden structures in data, inherited from Physics, is successfully applied on the realizations of the artificial market. Results among alternative tests are compared.

yearjournalcountryeditionlanguage
2004-08-01Journal of Economic Behavior & Organization
https://doi.org/10.1016/j.jebo.2003.05.001