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Queuing, Social Interactions, And The Microstructure Of Financial Markets

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  • HORST, ULRICH
  • ROTHE, CHRISTIAN

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Bibliographic Info

Article provided by Cambridge University Press in its journal Macroeconomic Dynamics.

Volume (Year): 12 (2008)
Issue (Month): 02 (April)
Pages: 211-233

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Handle: RePEc:cup:macdyn:v:12:y:2008:i:02:p:211-233_07

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Cited by:
  1. Lux, Thomas, 2012. "Estimation of an agent-based model of investor sentiment formation in financial markets," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1284-1302.
  2. Barucci, Emilio & Tolotti, Marco, 2012. "Social interaction and conformism in a random utility model," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1855-1866.
  3. Gunter M. Sch\"utz & Fernando Pigeard de Almeida Prado & Rosemary J. Harris & Vladimir Belitsky, 2007. "Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents," Papers 0801.0003, arXiv.org, revised Jun 2009.
  4. Christian Bayer & Ulrich Horst & Jinniao Qiu, 2014. "A Functional Limit Theorem for Limit Order Books," Papers 1405.5230, arXiv.org.
  5. Thomas Lux, 2008. "Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effects in a Business Climate Survey," Kiel Working Papers 1424, Kiel Institute for the World Economy.
  6. Sch├╝tz, Gunter M. & de Almeida Prado, Fernando Pigeard & Harris, Rosemary J. & Belitsky, Vladimir, 2009. "Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(19), pages 4126-4144.
  7. Chiarella, Carl & He, Xue-Zhong & Zheng, Min, 2011. "An analysis of the effect of noise in a heterogeneous agent financial market model," Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 148-162, January.
  8. Thomas Lux, 2009. "Mass Psychology in Action: Identification of Social Interaction Effects in the German Stock Market," Kiel Working Papers 1514, Kiel Institute for the World Economy.

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