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Using the upper price limit‐hitting events, in the Shanghai Stock Exchange in China, as the basis for comparison, we find that limit‐hitting stocks in the top 10 ranking list of daily returns attract more investors' attention, and bring about significant abnormal return in excess of those list‐excluded limit‐hitting stocks. The result is robust after controlling for firm characteristics and market...
This brief survey gives an introduction on agent-based computational finance (ABCF), focusing on features of heterogeneity and interaction among agents. In contrast to traditional deductive asset pricing theory with strictly defined representative investors, ABCF is characteristic of multi heterogeneous agents, making their own trading decisions in a virtual market respectively and interacting with...
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