[go: up one dir, main page]
IDEAS home Printed from https://ideas.repec.org/r/arx/papers/cond-mat-0012419.html
   My bibliography  Save this item

The price dynamics of common trading strategies

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Gunduz Caginalp & Vladimira Ilieva, 2006. "The dynamics of trader motivations in asset bubbles," Labsi Experimental Economics Laboratory University of Siena 008, University of Siena.
  2. Stefan Reitz & Frank Westerhoff, 2007. "Commodity price cycles and heterogeneous speculators: a STAR–GARCH model," Empirical Economics, Springer, vol. 33(2), pages 231-244, September.
  3. Lino Sau, 2013. "Instability and Crisis in Financial Complex Systems," Review of Political Economy, Taylor & Francis Journals, vol. 25(3), pages 496-511, July.
  4. Clark, Andrew, 2004. "Evidence of log-periodicity in corporate bond spreads," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 338(3), pages 585-595.
  5. Schmitt, Noemi & Westerhoff, Frank, 2014. "Speculative behavior and the dynamics of interacting stock markets," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 262-288.
  6. Carl Chiarella & Xue-Zhong He & Duo Wang, 2004. "Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment," Research Paper Series 142, Quantitative Finance Research Centre, University of Technology, Sydney.
  7. Noemi Schmitt & Frank Westerhoff, 2017. "Heterogeneity, spontaneous coordination and extreme events within large-scale and small-scale agent-based financial market models," Journal of Evolutionary Economics, Springer, vol. 27(5), pages 1041-1070, November.
  8. Schmitt, Noemi & Westerhoff, Frank, 2017. "On the bimodality of the distribution of the S&P 500's distortion: Empirical evidence and theoretical explanations," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 34-53.
  9. Stefan Reitz, 2005. "Central Bank Intervention and Heterogeneous Exchange Rate Expectations: Evidence from the Daily DEM/US-Dollar Exchange Rate," Open Economies Review, Springer, vol. 16(1), pages 33-50, January.
  10. Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2010. "On the complicated price dynamics of a simple one-dimensional discontinuous financial market model with heterogeneous interacting traders," Journal of Economic Behavior & Organization, Elsevier, vol. 74(3), pages 187-205, June.
  11. Feldman, Todd, 2010. "Portfolio manager behavior and global financial crises," Journal of Economic Behavior & Organization, Elsevier, vol. 75(2), pages 192-202, August.
  12. C. H. Hommes, 2001. "Financial markets as nonlinear adaptive evolutionary systems," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 149-167.
  13. Dieci, Roberto & Foroni, Ilaria & Gardini, Laura & He, Xue-Zhong, 2006. "Market mood, adaptive beliefs and asset price dynamics," Chaos, Solitons & Fractals, Elsevier, vol. 29(3), pages 520-534.
  14. Huang, Weihong & Zheng, Huanhuan & Chia, Wai-Mun, 2010. "Financial crises and interacting heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, vol. 34(6), pages 1105-1122, June.
  15. Giuliana Passamani & Roberto Tamborini & Matteo Tomaselli, 2016. "Taxing financial transactions in fundamentally heterogeneous markets," DEM Working Papers 2016/10, Department of Economics and Management.
  16. Reiner Franke & Toichiro Asada, 2008. "Incorporating positions into asset pricing models with order-based strategies," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 3(2), pages 201-227, December.
  17. Zhenxi Chen & Cuntong Wang, 2020. "Speculative trading in Chinese housing market: a panel regression method," Applied Economics, Taylor & Francis Journals, vol. 52(38), pages 4186-4195, July.
  18. Yosra Mefteh Rekik & Younes Boujelbene, 2015. "Price Dynamics and Market Volatility: Behavioral Heterogeneity under Switching Trading Strategies on Artificial Financial Market," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 6(2), pages 33-43, April.
  19. Alexandru Mandes & Peter Winker, 2017. "Complexity and model comparison in agent based modeling of financial markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(3), pages 469-506, October.
  20. Federico Botta & Helen Susannah Moat & H Eugene Stanley & Tobias Preis, 2015. "Quantifying Stock Return Distributions in Financial Markets," PLOS ONE, Public Library of Science, vol. 10(9), pages 1-10, September.
  21. Schmidhuber, Christof, 2021. "Trends, reversion, and critical phenomena in financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 566(C).
  22. Weihong Huang & Huanhuan Zheng & Wai-Mun Chia, 2013. "Asymmetric returns, gradual bubbles and sudden crashes," The European Journal of Finance, Taylor & Francis Journals, vol. 19(5), pages 420-437, May.
  23. Dirk G Baur & Kristoffer Glover, 2012. "A Gold Bubble?," Working Paper Series 175, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  24. Westerhoff Frank H. & Reitz Stefan, 2003. "Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(4), pages 1-15, December.
  25. Fabio Tramontana & Laura Gardini & Roberto Dieci & Frank Westerhoff, 2009. "The Emergence of Bull and Bear Dynamics in a Nonlinear Model of Interacting Markets," Discrete Dynamics in Nature and Society, Hindawi, vol. 2009, pages 1-30, July.
  26. Anthropelos, Michail & Kardaras, Constantinos, 2024. "Price impact under heterogeneous beliefs and restricted participation," Journal of Economic Theory, Elsevier, vol. 215(C).
  27. Andrea Gaunersdorfer & Cars Hommes, 2007. "A Nonlinear Structural Model for Volatility Clustering," Springer Books, in: Gilles Teyssière & Alan P. Kirman (ed.), Long Memory in Economics, pages 265-288, Springer.
  28. Helinä Laakkonen, 2007. "The Impact of Macroeconomic News on Exchange Rate Volatility," Finnish Economic Papers, Finnish Economic Association, vol. 20(1), pages 23-40, Spring.
  29. Westerhoff Frank H. & Wieland Cristian, 2004. "Spillover Dynamics of Central Bank Interventions," German Economic Review, De Gruyter, vol. 5(4), pages 435-450, December.
  30. Klein, Achim & Urbig, Diemo, 2008. "Who Drives the Market? Estimating a Heterogeneous Agent-based Financial Market Model Using a Neural Network Approach," MPRA Paper 116175, University Library of Munich, Germany, revised 30 Apr 2011.
  31. Mignot, Sarah & Westerhoff, Frank H., 2023. "Explaining the stylized facts of foreign exchange markets with a simple agent-based version of Paul de Grauwe's chaotic exchange rate model," BERG Working Paper Series 189, Bamberg University, Bamberg Economic Research Group.
  32. Efstathios Panayi & Gareth Peters, 2015. "Stochastic simulation framework for the Limit Order Book using liquidity motivated agents," Papers 1501.02447, arXiv.org, revised Jan 2015.
  33. Efstathios Panayi & Gareth W. Peters, 2015. "Stochastic simulation framework for the limit order book using liquidity-motivated agents," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(02), pages 1-52.
  34. He, Xue-Zhong & Li, Kai, 2012. "Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model," Journal of Economic Dynamics and Control, Elsevier, vol. 36(7), pages 973-987.
  35. Schmidt, Robert & Wollmershäuser, Timo, 2004. "Sterilized Foreign Exchange Market Interventions in a Chartist-Fundamentalist Exchange Rate Model," W.E.P. - Würzburg Economic Papers 50, University of Würzburg, Department of Economics.
  36. Fotini Economou & Konstantinos Gavriilidis & Bartosz Gebka & Vasileios Kallinterakis, 2022. "Feedback trading: a review of theory and empirical evidence," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 15(4), pages 429-476, February.
  37. J. Emeterio Navarro-Barrientos & Frank E. Walter & Frank Schweitzer, 2008. "Risk-Seeking Versus Risk-Avoiding Investments In Noisy Periodic Environments," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 19(06), pages 971-994.
  38. Carraro, Alessandro & Ricchiuti, Giorgio, 2015. "Heterogeneous fundamentalists and market maker inventories," Chaos, Solitons & Fractals, Elsevier, vol. 79(C), pages 73-82.
  39. Hommes, Cars & Huang, Hai & Wang, Duo, 2005. "A robust rational route to randomness in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 29(6), pages 1043-1072, June.
  40. Youwei Li & Xue-Zhong He, 2005. "Long Memory, Heterogeneity, and Trend Chasing," Computing in Economics and Finance 2005 113, Society for Computational Economics.
  41. Westerhoff, Frank H. & Dieci, Roberto, 2006. "The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach," Journal of Economic Dynamics and Control, Elsevier, vol. 30(2), pages 293-322, February.
  42. Miquel Montero, 2021. "Predator–prey model for stock market fluctuations," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 16(1), pages 29-57, January.
  43. Blaurock, Ivonne & Schmitt, Noemi & Westerhoff, Frank, 2018. "Market entry waves and volatility outbursts in stock markets," Journal of Economic Behavior & Organization, Elsevier, vol. 153(C), pages 19-37.
  44. He, Xue-Zhong & Westerhoff, Frank H., 2005. "Commodity markets, price limiters and speculative price dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 29(9), pages 1577-1596, September.
  45. J. Doyne Farmer & John Geanakoplos, 2008. "The Virtues and Vices of Equilibrium and the Future of Financial Economics," Levine's Working Paper Archive 122247000000002067, David K. Levine.
  46. Manzan, Sebastiano & Westerhoff, Frank H., 2007. "Heterogeneous expectations, exchange rate dynamics and predictability," Journal of Economic Behavior & Organization, Elsevier, vol. 64(1), pages 111-128, September.
  47. Riedler, Jesper & Brueckbauer, Frank, 2017. "Evaluating regulation within an artificial financial system: A framework and its application to the liquidity coverage ratio regulation," ZEW Discussion Papers 17-022, ZEW - Leibniz Centre for European Economic Research.
  48. Prakash Shrestha, 2017. "Macroeconomic Impact of International Reserves: Empirical Evidence from South Asia," Working Papers id:12166, eSocialSciences.
  49. Bauer, Christian & De Grauwe, Paul & Reitz, Stefan, 2009. "Exchange rate dynamics in a target zone--A heterogeneous expectations approach," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 329-344, February.
  50. Bewaji, Oluwasegun, 2024. "A computational model of bilateral credit limits in payment systems and other financial market infrastructures," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 5(1).
  51. Gardini, L. & Radi, D. & Schmitt, N. & Sushko, I. & Westerhoff, F., 2022. "Causes of fragile stock market stability," Journal of Economic Behavior & Organization, Elsevier, vol. 200(C), pages 483-498.
  52. LiCalzi, Marco & Pellizzari, Paolo, 2006. "Breeds of risk-adjusted fundamentalist strategies in an order-driven market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 359(C), pages 619-633.
  53. LeBaron, Blake, 2006. "Agent-based Computational Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 24, pages 1187-1233, Elsevier.
  54. Ned Corron & Xue-Zhong He & Frank Westerhoff, 2007. "Butter mountains, milk lakes and optimal price limiters," Applied Economics Letters, Taylor & Francis Journals, vol. 14(15), pages 1131-1136.
  55. Annina Kaltenbrunner & Machiko Nissanke, 2009. "The Case for an Intermediate Exchange Rate Regime with Endogenizing Market Structures and Capital Mobility: The Empirical Study of Brazil," WIDER Working Paper Series RP2009-29, World Institute for Development Economic Research (UNU-WIDER).
  56. Donovan Platt, 2019. "A Comparison of Economic Agent-Based Model Calibration Methods," Papers 1902.05938, arXiv.org.
  57. Nikiforos Laopodis, 2008. "Noise trading and autocorrelation interactions in the foreign exchange market: Evidence from developed and emerging economies," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 32(3), pages 271-293, July.
  58. Derick Diana & Tim Gebbie, 2023. "Anomalous diffusion and price impact in the fluid-limit of an order book," Papers 2310.06079, arXiv.org, revised Aug 2024.
  59. Platt, Donovan, 2020. "A comparison of economic agent-based model calibration methods," Journal of Economic Dynamics and Control, Elsevier, vol. 113(C).
  60. Leonidov, Andrei & Trainin, Vladimir & Zaitsev, Alexander & Zaitsev, Sergey, 2007. "Market mill dependence pattern in the stock market: Modeling of predictability and asymmetry via multi-component conditional distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 386(1), pages 240-252.
  61. D. Sornette, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models," Papers 1404.0243, arXiv.org.
  62. Donovan Platt & Tim Gebbie, 2016. "The Problem of Calibrating an Agent-Based Model of High-Frequency Trading," Papers 1606.01495, arXiv.org, revised Mar 2017.
  63. Prakash Kumar Shrestha, Ph.D., 2016. "Macroeconomic Impact of International Reserves: Empirical Evidence from South Asia," NRB Economic Review, Nepal Rastra Bank, Economic Research Department, vol. 28(1), pages 1-26, April.
  64. Mine Caglar, 2011. "Stock Price Processes with Infinite Source Poisson Agents," Papers 1106.6300, arXiv.org.
  65. Hirshleifer, David & Lo, Andrew W. & Zhang, Ruixun, 2023. "Social contagion and the survival of diverse investment styles," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
  66. Westerhoff Frank H., 2008. "The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 228(2-3), pages 195-227, April.
  67. Mark Bowden, 2015. "A model of information flows and confirmatory bias in financial markets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 38(2), pages 197-215, October.
  68. Ji, Jingru & Wang, Donghua & Xu, Dinghai, 2019. "Modelling the spreading process of extreme risks via a simple agent-based model: Evidence from the China stock market," Economic Modelling, Elsevier, vol. 80(C), pages 383-391.
  69. He, Xue-Zhong & Li, Kai & Wang, Chuncheng, 2016. "Volatility clustering: A nonlinear theoretical approach," Journal of Economic Behavior & Organization, Elsevier, vol. 130(C), pages 274-297.
  70. Rosser Jr., J. Barkley, 2010. "Is a transdisciplinary perspective on economic complexity possible?," Journal of Economic Behavior & Organization, Elsevier, vol. 75(1), pages 3-11, July.
  71. Todd Feldman & Gabriele Lepori, 2016. "Asset price formation and behavioral biases," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 8(2), pages 137-155, November.
  72. Platt, Donovan & Gebbie, Tim, 2018. "Can agent-based models probe market microstructure?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 1092-1106.
  73. Schmitt, Noemi & Westerhoff, Frank, 2021. "Trend followers, contrarians and fundamentalists: Explaining the dynamics of financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 192(C), pages 117-136.
  74. Xing Gao & Daniel Ladley, 2022. "Noise trading and market stability," The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1283-1301, October.
  75. Hommes, C.H., 2001. "Modeling the stylized facts in finance through simple nonlinear adaptive systems," CeNDEF Working Papers 01-06, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  76. Simone Alfarano & Thomas Lux, 2007. "A Minimal Noise Trader Model with Realistic Time Series Properties," Springer Books, in: Gilles Teyssière & Alan P. Kirman (ed.), Long Memory in Economics, pages 345-361, Springer.
  77. Kei Nakagawa & Masanori Hirano & Kentaro Minami & Takanobu Mizuta, 2024. "A Multi-agent Market Model Can Explain the Impact of AI Traders in Financial Markets -- A New Microfoundations of GARCH model," Papers 2409.12516, arXiv.org.
  78. Castellano, Rosella & Cerqueti, Roy, 2011. "The optimal bid/ask spread in a Specialist System," Economic Modelling, Elsevier, vol. 28(5), pages 2247-2253, September.
  79. L.J. Basson & Sune Ferreira-Schenk & Zandri Dickason-Koekemoer, 2022. "Fractal Dimension Option Hedging Strategy Implementation During Turbulent Market Conditions in Developing and Developed Countries," International Journal of Economics and Financial Issues, Econjournals, vol. 12(2), pages 84-95, March.
  80. Gaffeo, Edoardo & Molinari, Massimo, 2017. "Taxing financial transactions in fundamentally heterogeneous markets," Economic Modelling, Elsevier, vol. 64(C), pages 322-333.
  81. Martin, Carolin & Schmitt, Noemi & Westerhoff, Frank, 2022. "Housing Markets, Expectation Formation And Interest Rates," Macroeconomic Dynamics, Cambridge University Press, vol. 26(2), pages 491-532, March.
  82. Pellizzari, Paolo & Westerhoff, Frank, 2009. "Some effects of transaction taxes under different microstructures," Journal of Economic Behavior & Organization, Elsevier, vol. 72(3), pages 850-863, December.
  83. Antonio Doria, Francisco, 2011. "J.B. Rosser Jr. , Handbook of Research on Complexity, Edward Elgar, Cheltenham, UK--Northampton, MA, USA (2009) 436 + viii pp., index, ISBN 978 1 84542 089 5 (cased)," Journal of Economic Behavior & Organization, Elsevier, vol. 78(1-2), pages 196-204, April.
  84. Lukas Menkhoff & Mark P. Taylor, 2007. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Journal of Economic Literature, American Economic Association, vol. 45(4), pages 936-972, December.
  85. Rocco Caferra & Simone Nuzzo & Andrea Morone, 2023. "“Less is more” or “more is better”? The effect of asymmetric information distribution on market efficiency and wealth inequality," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 18(2), pages 233-250, April.
  86. Frank H. Westerhoff, 2009. "Exchange Rate Dynamics: A Nonlinear Survey," Chapters, in: J. Barkley Rosser Jr. (ed.), Handbook of Research on Complexity, chapter 11, Edward Elgar Publishing.
  87. Marco Licalzi & Paolo Pellizzari, 2003. "Fundamentalists clashing over the book: a study of order-driven stock markets," Quantitative Finance, Taylor & Francis Journals, vol. 3(6), pages 470-480.
  88. Kusen, Alex & Rudolf, Markus, 2019. "Feedback trading: Strategies during day and night with global interconnectedness," Research in International Business and Finance, Elsevier, vol. 48(C), pages 438-463.
  89. Dieci, Roberto & Westerhoff, Frank, 2011. "On the inherent instability of international financial markets: Natural nonlinear interactions between stock and foreign exchange markets," BERG Working Paper Series 79, Bamberg University, Bamberg Economic Research Group.
  90. Shi-Nan Cao & Jing Deng & Honggang Li, 2010. "Prospect theory and risk appetite: an application to traders’ strategies in the financial market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 5(2), pages 249-259, December.
  91. Jörn Dermietzel, 2008. "The Heterogeneous Agents Approach to Financial Markets – Development and Milestones," International Handbooks on Information Systems, in: Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), Handbook on Information Technology in Finance, chapter 19, pages 443-464, Springer.
  92. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2001. "Microscopic Models of Financial Markets," Papers cond-mat/0110354, arXiv.org.
  93. Chiarella, Carl & He, Xue-Zhong & Wang, Duo, 2006. "A behavioral asset pricing model with a time-varying second moment," Chaos, Solitons & Fractals, Elsevier, vol. 29(3), pages 535-555.
  94. Guillaume Coqueret, 2017. "Empirical properties of a heterogeneous agent model in large dimensions," Post-Print hal-02312186, HAL.
  95. Mornati, Fiorenzo & Becchio, Giandomenica & Marchionatti, Roberto & Cassata, Francesco, 2009. ""Quando l'economica italiana non era seconda a nessuno" Luigi Einaudi e la Scuola di Economia a Torino," CESMEP Working Papers 200910, University of Turin.
  96. Po-Keng Cheng, 2022. "Transitions among states behind interactive agent model," Computational and Mathematical Organization Theory, Springer, vol. 28(1), pages 27-51, March.
  97. Xue-Zhong He, 2003. "Asset Pricing, Volatility and Market Behaviour: A Market Fraction Approach," Research Paper Series 95, Quantitative Finance Research Centre, University of Technology, Sydney.
  98. Didier SORNETTE, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based Models," Swiss Finance Institute Research Paper Series 14-25, Swiss Finance Institute.
  99. He, Xue-Zhong & Li, Youwei, 2007. "Power-law behaviour, heterogeneity, and trend chasing," Journal of Economic Dynamics and Control, Elsevier, vol. 31(10), pages 3396-3426, October.
  100. David Goldbaum, 2013. "Learning and Adaptation as a Source of Market Failure," Working Paper Series 14, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
  101. Xue-Zhong He & Youwei Li, 2017. "The adaptiveness in stock markets: testing the stylized facts in the DAX 30," Journal of Evolutionary Economics, Springer, vol. 27(5), pages 1071-1094, November.
  102. Laakkonen, Helinä, 2004. "The impact of macroeconomic news on exchange rate volatility," Bank of Finland Research Discussion Papers 24/2004, Bank of Finland.
  103. Chiarella, Carl & He, Xue-Zhong & Huang, Weihong & Zheng, Huanhuan, 2012. "Estimating behavioural heterogeneity under regime switching," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 446-460.
  104. Reitz Stefan & Slopek Ulf, 2009. "Non-Linear Oil Price Dynamics: A Tale of Heterogeneous Speculators?," German Economic Review, De Gruyter, vol. 10(3), pages 270-283, August.
  105. Fischer, Thomas & Riedler, Jesper, 2014. "Prices, debt and market structure in an agent-based model of the financial market," Journal of Economic Dynamics and Control, Elsevier, vol. 48(C), pages 95-120.
  106. Day, Min-Yuh & Ni, Yensen, 2023. "Do clean energy indices outperform using contrarian strategies based on contrarian trading rules?," Energy, Elsevier, vol. 272(C).
  107. Rui Carvalho, 2001. "The Dynamics of the Linear Random Farmer Model," Papers cond-mat/0107150, arXiv.org.
  108. Xue-Zhong He & Kai Li, 2014. "Time Series Momentum and Market Stability," Research Paper Series 341, Quantitative Finance Research Centre, University of Technology, Sydney.
  109. Andrea Morone, 2008. "Financial markets in the laboratory: an experimental analysis of some stylized facts," Quantitative Finance, Taylor & Francis Journals, vol. 8(5), pages 513-532.
  110. Radu T. Pruna & Maria Polukarov & Nicholas R. Jennings, 2016. "A new structural stochastic volatility model of asset pricing and its stylized facts," Papers 1604.08824, arXiv.org.
  111. Huang, Weihong & Chen, Zhenxi, 2014. "Modeling regional linkage of financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 99(C), pages 18-31.
  112. Ivan Jericevich & Murray McKechnie & Tim Gebbie, 2021. "Calibrating an adaptive Farmer-Joshi agent-based model for financial markets," Papers 2104.09863, arXiv.org.
  113. Manzan, Sebastiano & Westerhoff, Frank, 2005. "Representativeness of news and exchange rate dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 29(4), pages 677-689, April.
  114. He, Xue-Zhong & Li, Youwei & Zheng, Min, 2019. "Heterogeneous agent models in financial markets: A nonlinear dynamics approach," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 135-149.
  115. Zhu, Mei & Chiarella, Carl & He, Xue-Zhong & Wang, Duo, 2009. "Does the market maker stabilize the market?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(15), pages 3164-3180.
  116. Christian Peretti, 2007. "Long Memory and Hysteresis," Springer Books, in: Gilles Teyssière & Alan P. Kirman (ed.), Long Memory in Economics, pages 363-389, Springer.
  117. Alexandru Mandes, 2014. "Order Placement in a Continuous Double Auction Agent Based Model," MAGKS Papers on Economics 201443, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  118. Zila, Eric & Kukacka, Jiri, 2023. "Moment set selection for the SMM using simple machine learning," Journal of Economic Behavior & Organization, Elsevier, vol. 212(C), pages 366-391.
  119. Bernd Pape, 2007. "Asset allocation and multivariate position based trading," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 2(2), pages 163-193, December.
  120. Alfarano, Simone & Lux, Thomas, 2007. "A Noise Trader Model As A Generator Of Apparent Financial Power Laws And Long Memory," Macroeconomic Dynamics, Cambridge University Press, vol. 11(S1), pages 80-101, November.
  121. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
  122. Coqueret, Guillaume, 2017. "Empirical properties of a heterogeneous agent model in large dimensions," Journal of Economic Dynamics and Control, Elsevier, vol. 77(C), pages 180-201.
  123. Hommes, C.H., 2005. "Heterogeneous Agent Models in Economics and Finance, In: Handbook of Computational Economics II: Agent-Based Computational Economics, edited by Leigh Tesfatsion and Ken Judd , Elsevier, Amsterdam 2006," CeNDEF Working Papers 05-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  124. Maarten P. Scholl & Anisoara Calinescu & J. Doyne Farmer, 2021. "How market ecology explains market malfunction," Proceedings of the National Academy of Sciences, Proceedings of the National Academy of Sciences, vol. 118(26), pages 2015574118-, June.
  125. Huang, Weihong & Chen, Zhenxi, 2020. "Modelling contagion of financial crises," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  126. Hommes, Cars H., 2006. "Heterogeneous Agent Models in Economics and Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 23, pages 1109-1186, Elsevier.
  127. Charteris, Ailie & Musadziruma, Arnold, 2017. "Feedback trading in stock index futures: Evidence from South Africa," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1289-1297.
  128. Laakkonen, Helinä & Lanne, Markku, 2009. "The Relevance of Accuracy for the Impact of Macroeconomic News on Volatility," MPRA Paper 23718, University Library of Munich, Germany.
  129. David Aikman & Daniel Beale & Adam Brinley-Codd & Anne-Caroline Hüser & Giovanni Covi & Caterina Lepore, 2023. "Macro-Prudential Stress Test Models: A Survey," IMF Working Papers 2023/173, International Monetary Fund.
  130. Bauer, Christian & Herz, Bernhard, 2009. "Monetary and exchange rate stability in South and East Asia," Pacific-Basin Finance Journal, Elsevier, vol. 17(3), pages 352-371, June.
  131. Witte, Björn-Christopher, 2011. "Removing systematic patterns in returns in a financial market model by artificially intelligent traders," BERG Working Paper Series 82, Bamberg University, Bamberg Economic Research Group.
  132. He, Xue-Zhong & Li, Kai, 2015. "Profitability of time series momentum," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 140-157.
  133. Melecký, Jan & Sergyeyev, Artur, 2008. "A simple finite-difference stock market model involving intrinsic value," Chaos, Solitons & Fractals, Elsevier, vol. 38(3), pages 769-777.
  134. Maximilian Beikirch & Simon Cramer & Martin Frank & Philipp Otte & Emma Pabich & Torsten Trimborn, 2020. "Robust Mathematical Formulation And Probabilistic Description Of Agent-Based Computational Economic Market Models," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 23(06), pages 1-41, September.
  135. Franke, Reiner, 2008. "On the Interpretation of Price Adjustments and Demand in Asset Pricing Models with Mean-Variance Optimization," Economics Working Papers 2008-13, Christian-Albrechts-University of Kiel, Department of Economics.
  136. Ron Bird & Lorenzo Casavecchia & Paolo Pellizzari & Paul Woolley, 2011. "The impact on the pricing process of costly active management and performance chasing clients," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 6(1), pages 61-82, May.
  137. Gurjeet Dhesi & Muhammad Bilal Shakeel & Ling Xiao, 2015. "Modified Brownian Motion Approach to Modelling Returns Distribution," Papers 1507.02203, arXiv.org.
  138. Annalisa Fabretti, 2013. "On the problem of calibrating an agent based model for financial markets," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 8(2), pages 277-293, October.
  139. Westerhoff, Frank H., 2004. "Multiasset Market Dynamics," Macroeconomic Dynamics, Cambridge University Press, vol. 8(5), pages 596-616, November.
  140. Gaunersdorfer, Andrea & Hommes, Cars H. & Wagener, Florian O.O., 2008. "Bifurcation routes to volatility clustering under evolutionary learning," Journal of Economic Behavior & Organization, Elsevier, vol. 67(1), pages 27-47, July.
  141. Schmidhuber, Christof, 2022. "Financial markets and the phase transition between water and steam," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 592(C).
  142. Dieci, Roberto & Schmitt, Noemi & Westerhoff, Frank, 2018. "Interactions between stock, bond and housing markets," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 43-70.
  143. Guillaume Coqueret, 2016. "Empirical properties of a heterogeneous agent model in large dimensions," Post-Print hal-02088097, HAL.
  144. Witte, Björn-Christopher, 2013. "Fundamental traders' ‘tragedy of the commons’: Information costs and other determinants for the survival of experts and noise traders in financial markets," Economic Modelling, Elsevier, vol. 32(C), pages 377-385.
  145. Torsten Trimborn & Philipp Otte & Simon Cramer & Max Beikirch & Emma Pabich & Martin Frank, 2018. "SABCEMM-A Simulator for Agent-Based Computational Economic Market Models," Papers 1801.01811, arXiv.org, revised Oct 2018.
  146. Goldbaum, David, 2017. "Divergent Behavior in Markets with Idiosyncratic Private Information," Review of Behavioral Economics, now publishers, vol. 4(2), pages 181-213, September.
  147. Mamadou Konté, 2011. "A link between random coefficient autoregressive models and some agent based models," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 6(1), pages 83-92, May.
  148. Chiarella, Carl & Dieci, Roberto & Gardini, Laura, 2006. "Asset price and wealth dynamics in a financial market with heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1755-1786.
  149. Heba M. Ezzat, 2019. "Disposition effect and multi-asset market dynamics," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 11(2), pages 144-164, June.
  150. Mikhail Anufriev & Giulio Bottazzi & Francesca Pancotto, 2004. "Price and Wealth Asymptotic Dynamics with CRRA Technical Trading Strategies," LEM Papers Series 2004/23, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  151. Michail Anthropelos & Constantinos Kardaras, 2018. "Price Impact Under Heterogeneous Beliefs and Restricted Participation," Papers 1802.09954, arXiv.org, revised Dec 2023.
  152. Dick, Christian D. & Menkhoff, Lukas, 2013. "Exchange rate expectations of chartists and fundamentalists," Journal of Economic Dynamics and Control, Elsevier, vol. 37(7), pages 1362-1383.
  153. Gianluca Mattarocci, 2009. "Market Characteristics and Chaos Dynamics in Stock Markets: an International Comparison," Palgrave Macmillan Studies in Banking and Financial Institutions, in: Alessandro Carretta & Franco Fiordelisi & Gianluca Mattarocci (ed.), New Drivers of Performance in a Changing Financial World, chapter 6, pages 89-106, Palgrave Macmillan.
  154. Radu T. Pruna & Maria Polukarov & Nicholas R. Jennings, 2020. "Loss aversion in an agent-based asset pricing model," Quantitative Finance, Taylor & Francis Journals, vol. 20(2), pages 275-290, February.
  155. Xue-Zhong He, 2012. "Recent Developments on Heterogeneous Beliefs and Adaptive Behaviour of Financial Markets," Research Paper Series 316, Quantitative Finance Research Centre, University of Technology, Sydney.
  156. Jasmina Hasanhodzic & Andrew Lo & Emanuele Viola, 2011. "A computational view of market efficiency," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 1043-1050.
  157. Christopher D. Clack & Elias Court & Dmitrijs Zaparanuks, 2020. "Dynamic Coupling and Market Instability," Papers 2005.13621, arXiv.org.
  158. Marsili, Matteo & Raffaelli, Giacomo & Ponsot, Benedicte, 2009. "Dynamic instability in generic model of multi-assets markets," Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1170-1181, May.
  159. S. Reitz & F. Westerhoff & C. Wieland, 2006. "Target Zone Interventions and Coordination of Expectations," Journal of Optimization Theory and Applications, Springer, vol. 128(2), pages 453-467, February.
  160. Demosthenes Tambakis, 2009. "Feedback trading and intermittent market turbulence," Quantitative Finance, Taylor & Francis Journals, vol. 9(4), pages 477-489.
  161. Min-Yuh Day & Yensen Ni & Chinning Hsu & Paoyu Huang, 2022. "Do Investment Strategies Matter for Trading Global Clean Energy and Global Energy ETFs?," Energies, MDPI, vol. 15(9), pages 1-15, May.
  162. Kai Li, 2014. "Asset Price Dynamics with Heterogeneous Beliefs and Time Delays," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 13, July-Dece.
  163. Challet, Damien, 2008. "Inter-pattern speculation: Beyond minority, majority and $-games," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 85-100, January.
  164. Zhenxi Chen, 2020. "Regional financial market bloc and spillover of the financial crisis: A heterogeneous agents approach," Manchester School, University of Manchester, vol. 88(2), pages 262-281, March.
  165. Sandrine Jacob Leal, 2015. "Fundamentalists, chartists and asset pricing anomalies," Quantitative Finance, Taylor & Francis Journals, vol. 15(11), pages 1837-1850, November.
  166. Ngene, Geoffrey M. & Wang, Jinghua, 2024. "Arbitrage opportunities and feedback trading in regulated bitcoin futures market: An intraday analysis," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 743-761.
  167. Vishwesha Guttal & Srinivas Raghavendra & Nikunj Goel & Quentin Hoarau, 2016. "Lack of Critical Slowing Down Suggests that Financial Meltdowns Are Not Critical Transitions, yet Rising Variability Could Signal Systemic Risk," PLOS ONE, Public Library of Science, vol. 11(1), pages 1-20, January.
  168. Troy Tassier, 2013. "Handbook of Research on Complexity, by J. Barkley Rosser, Jr. and Edward Elgar," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 39(1), pages 132-133.
  169. Huang, Weihong & Zheng, Huanhuan, 2012. "Financial crises and regime-dependent dynamics," Journal of Economic Behavior & Organization, Elsevier, vol. 82(2), pages 445-461.
  170. Mark DeSantis & David Swigon, 2018. "Slow-fast analysis of a multi-group asset flow model with implications for the dynamics of wealth," PLOS ONE, Public Library of Science, vol. 13(11), pages 1-25, November.
  171. Frijns, Bart & Koellen, Esther & Lehnert, Thorsten, 2008. "On the determinants of portfolio choice," Journal of Economic Behavior & Organization, Elsevier, vol. 66(2), pages 373-386, May.
  172. Franke, Reiner, 2009. "A prototype model of speculative dynamics with position-based trading," Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1134-1158, May.
  173. Llacay, Bàrbara & Peffer, Gilbert, 2017. "Impact of value-at-risk models on market stability," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 223-256.
  174. Giovanni Ferri & Andrea Morone, 2014. "The effect of rating agencies on herd behaviour," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 9(1), pages 107-127, April.
  175. Bowden, Mark P., 2012. "Information contagion within small worlds and changes in kurtosis and volatility in financial prices," Journal of Macroeconomics, Elsevier, vol. 34(2), pages 553-566.
  176. Wan, Jer-Yuh & Kao, Chung-Wei, 2009. "Evidence on the contrarian trading in foreign exchange markets," Economic Modelling, Elsevier, vol. 26(6), pages 1420-1431, November.
  177. Christof Schmidhuber, 2021. "Financial Markets and the Phase Transition between Water and Steam," Papers 2107.03857, arXiv.org, revised Dec 2021.
  178. Simon Cramer & Torsten Trimborn, 2019. "Stylized Facts and Agent-Based Modeling," Papers 1912.02684, arXiv.org.
  179. Kallinterakis, Vasileios & Liu, Fei & Pantelous, Athanasios A. & Shao, Jia, 2020. "Pricing inefficiencies and feedback trading: Evidence from country ETFs," International Review of Financial Analysis, Elsevier, vol. 70(C).
  180. Frank H. Westerhoff, 2005. "Heterogeneous traders, price-volume signals, and complex asset price dynamics," Discrete Dynamics in Nature and Society, Hindawi, vol. 2005, pages 1-11, January.
  181. Mario A Bertella & Felipe R Pires & Ling Feng & Harry Eugene Stanley, 2014. "Confidence and the Stock Market: An Agent-Based Approach," PLOS ONE, Public Library of Science, vol. 9(1), pages 1-9, January.
  182. Noemi Schmitt & Ivonne Schwartz & Frank Westerhoff, 2022. "Heterogeneous speculators and stock market dynamics: a simple agent-based computational model," The European Journal of Finance, Taylor & Francis Journals, vol. 28(13-15), pages 1263-1282, October.
  183. Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2015. "A simple financial market model with chartists and fundamentalists: Market entry levels and discontinuities," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 108(C), pages 16-40.
  184. Sandrine Jacob Leal, 2013. "Momentum effect in individual stocks and heterogeneous beliefs among fundamentalists," Economics Bulletin, AccessEcon, vol. 33(4), pages 3102-3116.
  185. Damian Pastor & Pavel Kisela & Viliam Kovac & Tomas Sabol & Viliam Vajda, 2015. "Application Of Market Valuation Models In Portfolio Management," Polish Journal of Management Studies, Czestochowa Technical University, Department of Management, vol. 12(1), pages 154-165, DEcember.
  186. Guillaume Coqueret, 2017. "Empirical properties of a heterogeneous agent model in large dimensions," Post-Print hal-02000726, HAL.
  187. Chiarella, Carl & He, Xue-Zhong, 2003. "Heterogeneous Beliefs, Risk, And Learning In A Simple Asset-Pricing Model With A Market Maker," Macroeconomic Dynamics, Cambridge University Press, vol. 7(4), pages 503-536, September.
  188. Olmedo,E. & Velasco, F. & Valderas, J.M., 2007. "Caracterización no lineal y predicción no paramétrica en el IBEX35/Nonlinear Characterization and Predictions of IBEX 35," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 25, pages 815-842, Diciembre.
  189. Sandrine Jacob Leal, 2015. "Fundamentalists, Chartists and Asset pricing anomalies," Post-Print hal-01508002, HAL.
  190. Grosche, Stephanie, 2012. "Limitations of Granger Causality Analysis to assess the price effects from the financialization of agricultural commodity markets under bounded rationality," Discussion Papers 121868, University of Bonn, Institute for Food and Resource Economics.
  191. Ryuichi Yamamoto, 2022. "Predictor Choice, Investor Types, and the Price Impact of Trades on the Tokyo Stock Exchange," Computational Economics, Springer;Society for Computational Economics, vol. 59(1), pages 325-356, January.
  192. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2007. "Agent-based Models of Financial Markets," Papers physics/0701140, arXiv.org.
  193. Torsten Trimborn & Philipp Otte & Simon Cramer & Maximilian Beikirch & Emma Pabich & Martin Frank, 2020. "SABCEMM: A Simulator for Agent-Based Computational Economic Market Models," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 707-744, February.
  194. Alvarez-Ramirez, Jose & Fernandez-Anaya, Guillermo & Ibarra-Valdez, Carlos, 2004. "Some issues on the stability of trading based on technical analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 337(3), pages 609-624.
  195. Gaunersdorfer, A. & Hommes, C.H. & Wagener, F.O.O., 2000. "Bifurcation Routes to Volatility Clustering," CeNDEF Working Papers 00-04, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  196. Jozef Barunik & Lukas Vacha & Miloslav Vosvrda, 2009. "Smart predictors in the heterogeneous agent model," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 4(2), pages 163-172, November.
  197. Frank Westerhoff, 2003. "Market-maker, inventory control and foreign exchange dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 3(5), pages 363-369.
  198. Changtai Li & Weihong Huang & Wei-Siang Wang & Wai-Mun Chia, 2023. "Price Change and Trading Volume: Behavioral Heterogeneity in Stock Market," Computational Economics, Springer;Society for Computational Economics, vol. 61(2), pages 677-713, February.
  199. Kai Li, 2014. "Asset Price Dynamics with Heterogeneous Beliefs and Time Delays," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2014, January-A.
  200. Nan Lu, 2018. "La modélisation de l’indice CAC 40 avec un modèle basé agent," Erudite Ph.D Dissertations, Erudite, number ph18-02 edited by François Legendre.
  201. Anufriev, Mikhail & Panchenko, Valentyn, 2009. "Asset prices, traders' behavior and market design," Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1073-1090, May.
  202. Wieland, Cristian & Westerhoff, Frank H., 2005. "Exchange rate dynamics, central bank interventions and chaos control methods," Journal of Economic Behavior & Organization, Elsevier, vol. 58(1), pages 117-132, September.
  203. Lai, Chong, 2022. "Investment dynamics of fund managers under evolutionary games," International Review of Financial Analysis, Elsevier, vol. 82(C).
  204. Vinod Cheriyan & Anton J. Kleywegt, 2016. "A dynamical systems model of price bubbles and cycles," Quantitative Finance, Taylor & Francis Journals, vol. 16(2), pages 309-336, February.
  205. Vacha, Lukas & Barunik, Jozef & Vosvrda, Miloslav, 2012. "How do skilled traders change the structure of the market," International Review of Financial Analysis, Elsevier, vol. 23(C), pages 66-71.
  206. Sergiy Gerasymchuk, 2008. "Asset return and wealth dynamics with reference dependent preferences and heterogeneous beliefs," Working Papers 160, Department of Applied Mathematics, Università Ca' Foscari Venezia.
  207. Georges, Christophre & Wallace, John C., 2009. "Learning Dynamics And Nonlinear Misspecification In An Artificial Financial Market," Macroeconomic Dynamics, Cambridge University Press, vol. 13(5), pages 625-655, November.
  208. Ehsan Ahmed & Honggang Li & J. Barkley Rosser, 2006. "Nonlinear bubbles in Chinese Stock Markets in the 1990s," Eastern Economic Journal, Eastern Economic Association, vol. 32(1), pages 1-18, Winter.
  209. Westerhoff, Frank, 2009. "A simple agent-based financial market model: Direct interactions and comparisons of trading profits," BERG Working Paper Series 61, Bamberg University, Bamberg Economic Research Group.
  210. Yamamoto, Ryuichi & Hirata, Hideaki, 2013. "Strategy switching in the Japanese stock market," Journal of Economic Dynamics and Control, Elsevier, vol. 37(10), pages 2010-2022.
  211. Demary, Markus, 2010. "Transaction taxes and traders with heterogeneous investment horizons in an agent-based financial market model," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 4, pages 1-44.
  212. Bàrbara Llacay & Gilbert Peffer, 2018. "Using realistic trading strategies in an agent-based stock market model," Computational and Mathematical Organization Theory, Springer, vol. 24(3), pages 308-350, September.
  213. Hammad A. Siddiqi, 2006. "Is it Social Influence on Beliefs Under Ambiguity? A Possible Explanation for Volatility Clustering," Microeconomics Working Papers 22279, East Asian Bureau of Economic Research.
  214. Sandrine Jacob Leal, 2012. "Momentum effect in individual stocks and heterogeneous beliefs among fundamentalists," Cahiers du CEREFIGE 1203, CEREFIGE (Centre Europeen de Recherche en Economie Financiere et Gestion des Entreprises), Universite de Lorraine, revised 2012.
  215. Hommes, C.H. & Wagener, F.O.O., 2008. "Complex evolutionary systems in behavioral finance," CeNDEF Working Papers 08-05, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  216. Siddiqi, Hammad, 2007. "Rational Interacting Agents and Volatility Clustering: A New Approach," MPRA Paper 2984, University Library of Munich, Germany.
  217. Weihong HUANG & Zhenxi CHEN, 2012. "Regional Financial Markets With Common Currency," Economic Growth Centre Working Paper Series 1210, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
  218. Luigi Bonatti & Lorenza Lorenzetti, 2016. "The co-evolution of tax evasion, social capital and policy responses: A theoretical approach," DEM Working Papers 2016/08, Department of Economics and Management.
  219. Franke, Reiner & Westerhoff, Frank, 2012. "Structural stochastic volatility in asset pricing dynamics: Estimation and model contest," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1193-1211.
  220. Cars Hommes, 2005. "Heterogeneous Agent Models: Two Simple Case Studies," Tinbergen Institute Discussion Papers 05-055/1, Tinbergen Institute.
  221. repec:zbw:bofrdp:2004_024 is not listed on IDEAS
  222. Xue-Zhong He & Youwei Li, 2008. "Heterogeneity, convergence, and autocorrelations," Quantitative Finance, Taylor & Francis Journals, vol. 8(1), pages 59-79.
  223. J.-H. Steffi Yang & Satchell, S.E., 2002. "The Impact of Technical Analysis on Asset Price Dynamics," Cambridge Working Papers in Economics 0219, Faculty of Economics, University of Cambridge.
  224. Hommes, C.H., 2005. "Heterogeneous Agents Models: two simple examples, forthcoming In: Lines, M. (ed.) Nonlinear Dynamical Systems in Economics, CISM Courses and Lectures, Springer, 2005, pp.131-164," CeNDEF Working Papers 05-01, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  225. Mario A Bertella & Felipe R Pires & Henio H A Rego & Jonathas N Silva & Irena Vodenska & H Eugene Stanley, 2017. "Confidence and self-attribution bias in an artificial stock market," PLOS ONE, Public Library of Science, vol. 12(2), pages 1-20, February.
  226. Leonardo Bargigli & Gabriele Tedeschi, 2013. "Major trends in agent-based economics," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 8(2), pages 211-217, October.
  227. Charteris, Ailie & Kallinterakis, Vasileios, 2021. "Feedback trading in retail-dominated assets: Evidence from the gold bullion coin market," International Review of Financial Analysis, Elsevier, vol. 75(C).
  228. Baur, Dirk G. & Glover, Kristoffer J., 2015. "Speculative trading in the gold market," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 63-71.
  229. Narayan, Paresh Kumar & Sharma, Susan Sunila, 2014. "Firm return volatility and economic gains: The role of oil prices," Economic Modelling, Elsevier, vol. 38(C), pages 142-151.
  230. Maximilian Beikirch & Simon Cramer & Martin Frank & Philipp Otte & Emma Pabich & Torsten Trimborn, 2019. "Robust Mathematical Formulation and Probabilistic Description of Agent-Based Computational Economic Market Models," Papers 1904.04951, arXiv.org, revised Mar 2021.
  231. Andrea Consiglio & Valerio Lacagnina & Annalisa Russino, 2005. "A simulation analysis of the microstructure of an order driven financial market with multiple securities and portfolio choices," Quantitative Finance, Taylor & Francis Journals, vol. 5(1), pages 71-87.
  232. Westerhoff, Frank H., 2004. "Greed, fear and stock market dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 343(C), pages 635-642.
  233. Baur, Dirk G. & Glover, Kristoffer J., 2014. "Heterogeneous expectations in the gold market: Specification and estimation," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 116-133.
  234. En-Guo Gu, 2020. "On the Price Dynamics of a Two-Dimensional Financial Market Model with Entry Levels," Complexity, Hindawi, vol. 2020, pages 1-23, August.
  235. Scheffknecht, Lukas & Geiger, Felix, 2011. "A behavioral macroeconomic model with endogenous boom-bust cycles and leverage dynamcis," FZID Discussion Papers 37-2011, University of Hohenheim, Center for Research on Innovation and Services (FZID).
  236. Bjorn-Christopher Witte, 2010. "Temporal information gaps and market efficiency: a dynamic behavioural analysis," Applied Financial Economics, Taylor & Francis Journals, vol. 20(13), pages 1057-1070.
  237. Lukáš Vácha & Jozef Barunik & Miloslav Vošvrda, 2009. "Smart Agents and Sentiment in the Heterogeneous Agent Model," Prague Economic Papers, Prague University of Economics and Business, vol. 2009(3), pages 209-219.
  238. Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, November.
  239. Prakash Kumar Shrestha, Ph.D., 2016. "Macroeconomic Impact of International Reserves: Empirical Evidence from South Asia," NRB Working Paper 32/2016, Nepal Rastra Bank, Research Department.
  240. Caginalp, G. & Ilieva, V., 2008. "The dynamics of trader motivations in asset bubbles," Journal of Economic Behavior & Organization, Elsevier, vol. 66(3-4), pages 641-656, June.
  241. Xue-Zhong He & Youwei Li, 2005. "Heterogeneity, Profitability and Autocorrelations," Research Paper Series 147, Quantitative Finance Research Centre, University of Technology, Sydney.
  242. Helinä Laakkonen, 2007. "The Impact of Macroeconomic News on Exchange Rate Volatility," Finnish Economic Papers, Finnish Economic Association, vol. 20(1), pages 23-40, Spring.
  243. Hommes, C.H. & Huang, H. & Wang, D., 2002. "A Robust Rational Route to in a Simple Asset Pricing Model," CeNDEF Working Papers 02-08, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  244. Jia-Ping Huang & Yang Zhang & Juanxi Wang, 2023. "Dynamic effects of social influence on asset prices," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 18(3), pages 671-699, July.
  245. Siddiqi, Hammad, 2006. "Belief merging and revision under social influence: An explanation for the volatility clustering puzzle," MPRA Paper 657, University Library of Munich, Germany.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.