create a website

Stylized Facts and Agent-Based Modeling. (2019). Trimborn, Torsten ; Cramer, Simon.
In: Papers.
RePEc:arx:papers:1912.02684.

Full description at Econpapers || Download paper

Cited: 1

Citations received by this document

Cites: 76

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Novel Insights in the Levy-Levy-Solomon Agent-Based Economic Market Model. (2020). Trimborn, Torsten ; Beikirch, Maximilian.
    In: Papers.
    RePEc:arx:papers:2002.10222.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Adam Smith. The wealth of nations [1776], 1937.
    Paper not yet in RePEc: Add citation now
  2. Adrian Pagan. The econometrics of financial markets. Journal of empirical finance, 3(1): 15–102, 1996.

  3. Alan Kirman. Ants, rationality, and recruitment. The Quarterly Journal of Economics, 108 (1):137–156, 1993.

  4. Alan P Kirman, Gilles Teyssiere, et al. Microeconomic models for long-memory in the volatility of financial time series. Technical report, Society for Computational Economics, 2001. Blake LeBaron. Agent-based computational finance: Suggested readings and early research.

  5. Andrea Gurgone, Giulia Iori, and Saqib Jafarey. The effects of interbank networks on efficiency and stability in a macroeconomic agent-based model. Journal of Economic Dynamics and Control, 91:257–288, 2018.

  6. Ariel Rubinstein. Modeling bounded rationality. MIT press, 1998.
    Paper not yet in RePEc: Add citation now
  7. Benoit B Mandelbrot. The variation of certain speculative prices. In Fractals and scaling in finance, pages 371–418. Springer, 1997.
    Paper not yet in RePEc: Add citation now
  8. Blake LeBaron. Agent-based financial markets: Matching stylized facts with style. Post Walrasian Macroeconomics: Beyond the DSGE Model, pages 221–235, 2006.
    Paper not yet in RePEc: Add citation now
  9. Bruce M Hill. A simple general approach to inference about the tail of a distribution. The annals of statistics, pages 1163–1174, 1975.
    Paper not yet in RePEc: Add citation now
  10. Burton G Malkiel and Eugene F Fama. Efficient capital markets: A review of theory and empirical work. The journal of Finance, 25(2):383–417, 1970.

  11. Carl Chiarella, Roberto Dieci, and Laura Gardini. Asset price and wealth dynamics in a financial market with heterogeneous agents. Journal of Economic Dynamics and Control, 30(9):1755–1786, 2006.

  12. Carl Chiarella, Roberto Dieci, and Laura Gardini. Speculative behaviour and complex asset price dynamics: a global analysis. Journal of Economic Behavior & Organization, 49(2): 173–197, 2002.

  13. Carl Chiarella, Roberto Dieci, and Laura Gardini. The dynamic interaction of speculation and diversification. Applied Mathematical Finance, 12(1):17–52, 2005.

  14. Carl Chiarella, Roberto Dieci, and Xue-Zhong He. Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework. Journal of Economic Behavior & Organization, 62(3):408–427, 2007.

  15. Cars H Hommes. Heterogeneous agent models in economics and finance. Handbook of computational economics, 2:1109–1186, 2006.

  16. Carsien Harm Hommes. Financial markets as nonlinear adaptive evolutionary systems. 2001.

  17. Damien Challet, Matteo Marsili, and Yi-Cheng Zhang. Stylized facts of financial markets and market crashes in minority games. Physica A: Statistical Mechanics and its Applications, 294(3):514–524, 2001.

  18. Dario Maldarella and Lorenzo Pareschi. Kinetic models for socio-economic dynamics of speculative markets. Physica A: Statistical Mechanics and its Applications, 391(3):715–730, 2012.

  19. Didier Sornette and Wei-Xing Zhou. Importance of positive feedbacks and overconfidence in a self-fulfilling ising model of financial markets. Physica A: Statistical Mechanics and its Applications, 370(2):704–726, 2006.

  20. Didier Sornette. Physics and financial economics (1776–2014): puzzles, ising and agent-based models. Reports on Progress in Physics, 77(6):062001, 2014.

  21. Egle Samanidou, Elmar Zschischang, Dietrich Stauffer, and Thomas Lux. Agent-based models of financial markets. Reports on Progress in Physics, 70(3):409, 2007.

  22. Elmar Zschischang and Thomas Lux. Some new results on the levy, levy and solomon microscopic stock market model. Physica A: Statistical Mechanics and its Applications, 291(1): 563–573, 2001.

  23. Eugene F Fama. The behavior of stock-market prices. The journal of Business, 38(1):34–105, 1965.
    Paper not yet in RePEc: Add citation now
  24. Fama Eugene. The distrigbution of the daily differences of the logarithms of stock prices. In Ph.D. Thesis. Graduate School of Business University of Chicago, 1963.
    Paper not yet in RePEc: Add citation now
  25. Francis Ysidro Edgeworth. Mathematical psychics: An essay on the application of mathematics to the moral sciences, volume 10. Kegan Paul, 1881.
    Paper not yet in RePEc: Add citation now
  26. George J Stigler. The development of utility theory. i. Journal of political economy, 58(4): 307–327, 1950.

  27. Georges Harras and Didier Sornette. How to grow a bubble: A model of myopic adapting agents. Journal of Economic Behavior & Organization, 80(1):137–152, 2011.

  28. Gerard Debreu. Excess demand functions. Journal of mathematical economics, 1(1):15–21, 1974.

  29. Gew-rae Kim and Harry M Markowitz. Investment rules, margin, and market volatility. The Journal of Portfolio Management, 16(1):45–52, 1989.
    Paper not yet in RePEc: Add citation now
  30. Giulia Iori, James Porter, et al. Agent-based modelling for financial markets. Chapter prepared for the Handbook on Computational Economics and Finance, 2012.

  31. Herbert A Simon. A behavioral model of rational choice. The quarterly journal of economics, pages 99–118, 1955.

  32. Herbert A Simon. Models of man; social and rational. 1957.
    Paper not yet in RePEc: Add citation now
  33. Hugo Sonnenschein. Market excess demand functions. Econometrica: Journal of the Econometric Society, pages 549–563, 1972.

  34. In Complexity and Geographical Economics, pages 353–377. Springer, 2015. Avraham Beja and M Barry Goldman. On the dynamic behavior of prices in disequilibrium.
    Paper not yet in RePEc: Add citation now
  35. In Long memory in economics, pages 289–309. Springer, 2007.
    Paper not yet in RePEc: Add citation now
  36. In Phys.: Conf. Series, volume 55, pages 55–62, 2006.
    Paper not yet in RePEc: Add citation now
  37. J Doyne Farmer and Duncan Foley. The economy needs agent-based modelling. Nature, 460 (7256):685–686, 2009.

  38. J Doyne Farmer and Shareen Joshi. The price dynamics of common trading strategies. Journal of Economic Behavior & Organization, 49(2):149–171, 2002.

  39. J Vitting Andersen and Didier Sornette. The $-game. The European Physical Journal BCondensed Matter and Complex Systems, 31(1):141–145, 2003. Marcel Ausloos, Herbert Dawid, and Ugo Merlone. Spatial interactions in agent-based modeling.

  40. John F Muth. Rational expectations and the theory of price movements. Econometrica: Journal of the Econometric Society, pages 315–335, 1961.
    Paper not yet in RePEc: Add citation now
  41. John Von Neumann, Oskar Morgenstern, and Harold William Kuhn. Theory of games and economic behavior (commemorative edition). Princeton university press, 2007.
    Paper not yet in RePEc: Add citation now
  42. John Y Campbell, Andrew Wen-Chuan Lo, Archie Craig MacKinlay, et al. The econometrics of financial markets, volume 2. princeton University press Princeton, NJ, 1997.
    Paper not yet in RePEc: Add citation now
  43. Josef Brada, Harry Ernst, and John Van Tassel. Letter to the editor—the distribution of stock price differences: Gaussian after all? Operations Research, 14(2):334–340, 1966.

  44. Leigh Tesfatsion. Agent-based computational economics: Growing economies from the bottom up. Artificial life, 8(1):55–82, 2002. Torsten Trimborn, Philipp Otte, Simon Cramer, Max Beikirch, Emma Pabich, and Martin Frank. Sabcemm-a simulator for agent-based computational economic market models.

  45. Marco A Janssen and Elinor Ostrom. Empirically based, agent-based models. Ecology and society, 11(2), 2006.
    Paper not yet in RePEc: Add citation now
  46. N Ehrentreich. Agent-based modeling: The santa fe institute artificial stock market, 2008.

  47. Norman Ehrentreich. Agent-based modeling: The Santa Fe Institute artificial stock market model revisited, volume 602. Springer Science & Business Media, 2007.
    Paper not yet in RePEc: Add citation now
  48. Paul De Grauwe and Marianna Grimaldi. Heterogeneity of agents, transactions costs and the exchange rate. Journal of Economic Dynamics and Control, 29(4):691–719, 2005.

  49. Rama Cont and Jean-Philipe Bouchaud. Herd behavior and aggregate fluctuations in financial markets. Macroeconomic dynamics, 4(2):170–196, 2000.

  50. Rama Cont. Empirical properties of asset returns: stylized facts and statistical issues. 2001. Rama Cont. Volatility clustering in financial markets: empirical facts and agent-based models.

  51. Reiner Franke and Frank Westerhoff. Estimation of a structural stochastic volatility model of asset pricing. Computational Economics, 38(1):53–83, 2011.
    Paper not yet in RePEc: Add citation now
  52. Reiner Franke and Frank Westerhoff. Structural stochastic volatility in asset pricing dynamics: Estimation and model contest. Journal of Economic Dynamics and Control, 36(8):1193– 1211, 2012.

  53. Reiner Franke and Frank Westerhoff. Validation of a structural stochastic volatility model of asset pricing. Christian-Albrechts-Universität zu Kiel. Department of Economics, 2009.
    Paper not yet in RePEc: Add citation now
  54. Richard G Palmer, W Brian Arthur, John H Holland, Blake LeBaron, and Paul Tayler. Artificial economic life: a simple model of a stockmarket. Physica D: Nonlinear Phenomena, 75(1-3):264–274, 1994.
    Paper not yet in RePEc: Add citation now
  55. Richard H Day and Weihong Huang. Bulls, bears and market sheep. Journal of Economic Behavior & Organization, 14(3):299–329, 1990.

  56. Robert E Lucas Jr. Econometric policy evaluation: A critique. In Carnegie-Rochester conference series on public policy, volume 1, pages 19–46. North-Holland, 1976.

  57. Roberto Dieci, Ilaria Foroni, Laura Gardini, and Xue-Zhong He. Market mood, adaptive beliefs and asset price dynamics. Chaos, Solitons & Fractals, 29(3):520–534, 2006.

  58. Robin Cowan and Nicolas Jonard. Heterogenous agents, interactions and economic performance, volume 521. Springer Science & Business Media, 2002.
    Paper not yet in RePEc: Add citation now
  59. Rod Cross, Michael Grinfeld, Harbir Lamba, and Tim Seaman. A threshold model of investor psychology. Physica A: Statistical Mechanics and its Applications, 354:463–478, 2005. Rod Cross, Michael Grinfeld, and Harbir Lamba. A mean-field model of investor behaviour.

  60. Rod Cross, Michael Grinfeld, Harbir Lamba, and Tim Seaman. Stylized facts from a thresholdbased heterogeneous agent model. The European Physical Journal B, 57(2):213–218, 2007.

  61. Rolf R Mantel. On the characterization of aggregate excess demand. Journal of economic theory, 7(3):348–353, 1974.

  62. Shu-Heng Chen, Chia-Ling Chang, and Ye-Rong Du. Agent-based economic models and econometrics. The Knowledge Engineering Review, 27(02):187–219, 2012.
    Paper not yet in RePEc: Add citation now
  63. Simone Alfarano and Mishael Milaković. Network structure and n-dependence in agent-based herding models. Journal of Economic Dynamics and Control, 33(1):78–92, 2009.

  64. Simone Alfarano and Mishael Milaković. Should network structure matter in agent-based finance? Technical report, Economics Working Paper, 2008.

  65. Simone Alfarano, Thomas Lux, and Friedrich Wagner. Estimation of agent-based models: the case of an asymmetric herding model. Computational Economics, 26(1):19–49, 2005.

  66. Simone Alfarano, Thomas Lux, and Friedrich Wagner. Time variation of higher moments in a financial market with heterogeneous agents: An analytical approach. Journal of Economic Dynamics and Control, 32(1):101–136, 2008.

  67. Taisei Kaizoji, Stefan Bornholdt, and Yoshi Fujiwara. Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents. Physica A: Statistical Mechanics and its Applications, 316(1):441–452, 2002.

  68. The Journal of Finance, 35(2):235–248, 1980. J-P Bouchaud and Rama Cont. A langevin approach to stock market fluctuations and crashes.
    Paper not yet in RePEc: Add citation now
  69. Thomas Lux and Michele Marchesi. Scaling and criticality in a stochastic multi-agent model of a financial market. Nature, 397(6719):498–500, 1999.

  70. Thomas Lux and Michele Marchesi. Volatility clustering in financial markets: a microsimulation of interacting agents. International journal of theoretical and applied finance, 3(04): 675–702, 2000.

  71. Thomas Lux et al. Applications of statistical physics in finance and economics. Technical report, Kiel working paper, 2008.

  72. Thomas Lux. Herd behaviour, bubbles and crashes. The economic journal, pages 881–896, 1995.

  73. Thomas Lux. Stochastic behavioral asset pricing models and the stylized facts. Technical report, Economics working paper/Christian-Albrechts-Universität Kiel, Department of Economics, 2008.

  74. Thomas Lux. The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions. Journal of Economic Behavior & Organization, 33 (2):143–165, 1998.

  75. Vilfredo Pareto. Cours d’économie politique, professé à l’université de lausanne. tome second, 1897.
    Paper not yet in RePEc: Add citation now
  76. W-X Zhou and Didier Sornette. Self-organizing ising model of financial markets. The European Physical Journal B, 55(2):175–181, 2007.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Asset Price Dynamics with Heterogeneous Beliefs and Time Delays. (2014). Li, Kai.
    In: PhD Thesis.
    RePEc:uts:finphd:13.

    Full description at Econpapers || Download paper

  2. Ready for euro? Empirical study of the actual monetary policy independence in Poland. (2013). Mycielska, Dagmara ; Goczek, Lukasz.
    In: Working Papers.
    RePEc:war:wpaper:2013-13.

    Full description at Econpapers || Download paper

  3. Volatility and Long Term Relations in Equity Markets: Empirical Evidence from Germany, Switzerland, and the UK. (2008). Guidi, Francesco.
    In: MPRA Paper.
    RePEc:pra:mprapa:11535.

    Full description at Econpapers || Download paper

  4. Long Memory Persistence in the Factor of Implied Volatility Dynamics. (2007). mungo, julius ; Härdle, Wolfgang ; Hardle, Wolfgang.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2007-027.

    Full description at Econpapers || Download paper

  5. Power-law behaviour, heterogeneity, and trend chasing. (2007). Li, Youwei ; He, Xuezhong.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:31:y:2007:i:10:p:3396-3426.

    Full description at Econpapers || Download paper

  6. Asset Prices, Traders Behavior, and Market Design. (2007). Panchenko, Valentyn ; Anufriev, Mikhail.
    In: CeNDEF Working Papers.
    RePEc:ams:ndfwpp:07-14.

    Full description at Econpapers || Download paper

  7. The Interplay Between the Thai and Several Other International Stock Markets. (2006). Valadkhani, Abbas ; Chancharat, Surachai ; Harvie, Charles.
    In: Economics Working Papers.
    RePEc:uow:depec1:wp06-18.

    Full description at Econpapers || Download paper

  8. Time-varying Beta Risk of Pan-European Industry Portfolios: A Comparison of Alternative Modeling Techniques. (2005). Mergner, Sascha ; Bulla, Jan.
    In: Finance.
    RePEc:wpa:wuwpfi:0510029.

    Full description at Econpapers || Download paper

  9. Long Memory, Heterogeneity and Trend Chasing. (2005). Li, Youwei ; He, Xuezhong.
    In: Research Paper Series.
    RePEc:uts:rpaper:148.

    Full description at Econpapers || Download paper

  10. Heterogeneity, Profitability and Autocorrelations. (2005). Li, Youwei ; He, Xuezhong.
    In: Research Paper Series.
    RePEc:uts:rpaper:147.

    Full description at Econpapers || Download paper

  11. Estimation of an Adaptive Stock Market Model with Heterogeneous Agents. (2005). Amilon, Henrik.
    In: Working Paper Series.
    RePEc:hhs:rbnkwp:0177.

    Full description at Econpapers || Download paper

  12. Financial Market in the Laboratory, an Experimental Analysis of some Stylized Facts. (2005). Morone, Andrea.
    In: Papers on Strategic Interaction.
    RePEc:esi:discus:2005-27.

    Full description at Econpapers || Download paper

  13. Sign Tests for Dependent Observations and Bounds for Path-Dependent Options. (2005). Ibragimov, Rustam ; Brown, Donald.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1518.

    Full description at Econpapers || Download paper

  14. A nonlinear structural model for volatility clustering. (2005). Hommes, Cars ; Gaunersdorfer, A..
    In: CeNDEF Working Papers.
    RePEc:ams:ndfwpp:05-02.

    Full description at Econpapers || Download paper

  15. Financial Market in the Laboratory. (2004). Morone, Andrea.
    In: Experimental.
    RePEc:wpa:wuwpex:0401002.

    Full description at Econpapers || Download paper

  16. Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment. (2004). He, Xuezhong ; Chiarella, Carl ; Wang, Duo.
    In: Research Paper Series.
    RePEc:uts:rpaper:142.

    Full description at Econpapers || Download paper

  17. Nonparametric Estimation of Convergence of Interest Rates: Effects on Bond Pricing. (2004). Gómez Biscarri, Javier ; Corzo, Teresa ; Santamaria, Teresa Corzo.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp0304.

    Full description at Econpapers || Download paper

  18. Financial Liberalization and Emerging Stock Market Volatility. (2004). Gómez Biscarri, Javier ; J. Cuñado; J. Gómez, ; de Gracia, Prez F..
    In: Computing in Economics and Finance 2004.
    RePEc:sce:scecf4:124.

    Full description at Econpapers || Download paper

  19. The term structure of commercial paper rates. (2004). Oliner, Stephen ; Downing, Chris .
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2004-18.

    Full description at Econpapers || Download paper

  20. Official Interventions and Occasional Violations of Uncovered Interest Parity in the Dollar-DM Market. (2004). Moh, Young-Kyu ; Mark, Nelson.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:762.

    Full description at Econpapers || Download paper

  21. Modeling dependence structure in size-sorted portfolios: A Structural Multivariate GARCH Model. (2004). Milunovich, George.
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:55.

    Full description at Econpapers || Download paper

  22. Asset Pricing, Volatility and Market Behaviour: A Market Fraction Approach. (2003). He, Xuezhong.
    In: Research Paper Series.
    RePEc:uts:rpaper:95.

    Full description at Econpapers || Download paper

  23. Volatility and Volume in Chinese Stock Markets. (2003). Copeland, Laurence ; Zhang, Biqiong.
    In: Journal of Chinese Economic and Business Studies.
    RePEc:taf:jocebs:v:1:y:2003:i:3:p:287-300.

    Full description at Econpapers || Download paper

  24. An investigation of the unconditional distribution of South African stock index returns. (2003). Beelders, O..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:13:y:2003:i:9:p:623-633.

    Full description at Econpapers || Download paper

  25. Signal Extraction can Generate Volatility Clusters. (2003). McCulloch, J. Huston ; Bidarkota, Prasad.
    In: Computing in Economics and Finance 2003.
    RePEc:sce:scecf3:59.

    Full description at Econpapers || Download paper

  26. A simple framework for analysing bull and bear markets. (2003). Sossounov, Kirill ; pagan, adrian.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:18:y:2003:i:1:p:23-46.

    Full description at Econpapers || Download paper

  27. Modelling the implied probability of stock market movements. (2003). Scheicher, Martin ; Glatzer, Ernst .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2003212.

    Full description at Econpapers || Download paper

  28. From Efficient Markets Theory to Behavioral Finance. (2003). Shiller, Robert.
    In: Journal of Economic Perspectives.
    RePEc:aea:jecper:v:17:y:2003:i:1:p:83-104.

    Full description at Econpapers || Download paper

  29. Learning About Models and Their Fit to Data. (2002). pagan, adrian.
    In: International Economic Journal.
    RePEc:taf:intecj:v:16:y:2002:i:2:p:1-18.

    Full description at Econpapers || Download paper

  30. Time varying country risk: an assessment of alternative modelling techniques. (2002). faff, robert ; McKenzie, M. ; Brooks, R. D..
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:8:y:2002:i:3:p:249-274.

    Full description at Econpapers || Download paper

  31. Signal Extraction Can Generate Volatility Clusters From IID Shocks. (2002). McCulloch, J. Huston ; Bidarkota, Prasad.
    In: Working Papers.
    RePEc:osu:osuewp:02-04.

    Full description at Econpapers || Download paper

  32. From Efficient Market Theory to Behavioral Finance. (2002). Shiller, Robert.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1385.

    Full description at Econpapers || Download paper

  33. Examining Competition in Land Market: An Application of Event Study to Land Auctions in Hong Kong. (2001). Fu, Yuming ; Ching, Stephen .
    In: Wisconsin-Madison CULER working papers.
    RePEc:wop:wisule:01-01.

    Full description at Econpapers || Download paper

  34. THE RANDOM WALK OF STOCK PRICES: IMPLICATIONS OF RECENT NONPARA-METRIC TESTS. (2001). Dahl, Christian ; Nielsen, Steen .
    In: Working Papers.
    RePEc:hhs:cbsnow:2001_007.

    Full description at Econpapers || Download paper

  35. Outliers and conditional autoregressive heteroscedasticity in time series. (2001). Ruiz, Esther ; Carnero, M. Angeles ; Pea, Daniel.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws010704.

    Full description at Econpapers || Download paper

  36. Slimming of power law tails by increasing market returns. (2001). Sornette, D..
    In: Papers.
    RePEc:arx:papers:cond-mat/0010112.

    Full description at Econpapers || Download paper

  37. Some Exact Formulae for the Constant Correlation and Diagonal M - Garch Models. (2000). Karanasos, Menelaos.
    In: Discussion Papers.
    RePEc:yor:yorken:00/14.

    Full description at Econpapers || Download paper

  38. The Covariance Structure of Mixed ARMA Models. (2000). Karanasos, Menelaos.
    In: Discussion Papers.
    RePEc:yor:yorken:00/11.

    Full description at Econpapers || Download paper

  39. Learning in a Generalized Dornbusch Model of Exchange Rate Dynamics. (2000). Chiarella, Carl ; Khomin, Alexander.
    In: Working Paper Series.
    RePEc:uts:wpaper:102.

    Full description at Econpapers || Download paper

  40. Further insights on the puzzle of technical analysis profitability. (2000). Maillet, Bertrand ; Bertrand Maillet, Thierry Michel, .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:6:y:2000:i:2:p:196-224.

    Full description at Econpapers || Download paper

  41. Time-varying risk in the German stock market. (2000). Scheicher, Martin.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:6:y:2000:i:1:p:70-91.

    Full description at Econpapers || Download paper

  42. Density Forecasting: A Survey. (2000). Wallis, Kenneth ; Tay, Anthony S.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0370.

    Full description at Econpapers || Download paper

  43. The Nasdaq crash of April 2000: Yet another example of log-periodicity in a speculative bubble ending in a crash. (2000). Johansen, Anders ; Sornette, Didier.
    In: Papers.
    RePEc:arx:papers:cond-mat/0004263.

    Full description at Econpapers || Download paper

  44. Heterogeneous Beliefs, Intelligent Agents, and Allocative Efficiency in an Artificial Stock Market. (1999). Yang, Jing.
    In: Computing in Economics and Finance 1999.
    RePEc:sce:scecf9:612.

    Full description at Econpapers || Download paper

  45. Jumps in the Volatility of Financial Markets.. (1999). Perron, Benoit.
    In: Cahiers de recherche.
    RePEc:mtl:montde:9912.

    Full description at Econpapers || Download paper

  46. The Impact of Foreign Exchange Interventions: New Evidence from FIGARCH Estimations. (1999). Beine, Michel ; Benassy-Quere, Agnès ; Christine Lecourt Keywords : Exchange rates; offic, .
    In: Working Papers.
    RePEc:cii:cepidt:1999-14.

    Full description at Econpapers || Download paper

  47. LAPM: A Liquidity-based Asset Pricing Model. (1998). Tirole, Jean ; Holmstrom, Bengt.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6673.

    Full description at Econpapers || Download paper

  48. Modelling Stock Market Excess Returns by Markov Modulated Gaussian Noise. (1998). Muscatelli, Vito ; Hurn, Stan.
    In: Working Papers.
    RePEc:gla:glaewp:9806.

    Full description at Econpapers || Download paper

  49. Herd behavior and aggregate fluctuations in financial markets. (1997). Bouchaud, Jean-Philippe ; Cont, Rama.
    In: Finance.
    RePEc:wpa:wuwpfi:9712008.

    Full description at Econpapers || Download paper

  50. Herd behavior and aggregate fluctuations in financial markets. (1997). Bouchaud, Jean-Philippe ; Cont, Rama.
    In: Science & Finance (CFM) working paper archive.
    RePEc:sfi:sfiwpa:500028.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-02-25 17:56:29 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.

pFad - Phonifier reborn

Pfad - The Proxy pFad of © 2024 Garber Painting. All rights reserved.

Note: This service is not intended for secure transactions such as banking, social media, email, or purchasing. Use at your own risk. We assume no liability whatsoever for broken pages.


Alternative Proxies:

Alternative Proxy

pFad Proxy

pFad v3 Proxy

pFad v4 Proxy