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Institutional architectures and behavioral ecologies in the dynamics of financial markets

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  • Bottazzi, Giulio
  • Dosi, Giovanni
  • Rebesco, Igor

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Mathematical Economics.

Volume (Year): 41 (2005)
Issue (Month): 1-2 (February)
Pages: 197-228

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Handle: RePEc:eee:mateco:v:41:y:2005:i:1-2:p:197-228

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Web page: http://www.elsevier.com/locate/jmateco

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References

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  1. J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1988. "The Survival of Noise Traders in Financial Markets," NBER Working Papers 2715, National Bureau of Economic Research, Inc.
  2. Ananth N. Madhavan, . "Trading Mechanisms in Securities Markets," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 16-90, Wharton School Rodney L. White Center for Financial Research.
  3. J. Doyne Farmer, 1998. "Market Force, Ecology, and Evolution," Research in Economics, Santa Fe Institute 98-12-117e, Santa Fe Institute.
  4. Goodhart, C. A. E. & Figliuoli, L., 1991. "Every minute counts in financial markets," Journal of International Money and Finance, Elsevier, Elsevier, vol. 10(1), pages 23-52, March.
  5. Smith, Vernon L & Suchanek, Gerry L & Williams, Arlington W, 1988. "Bubbles, Crashes, and Endogenous Expectations in Experimental Spot Asset Markets," Econometrica, Econometric Society, Econometric Society, vol. 56(5), pages 1119-51, September.
  6. Hommes, C.H., 2000. "Financial Markets as Nonlinear Adaptive Evolutionary Systems," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance 00-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  7. Gode, Dhananjay K & Sunder, Shyam, 1993. "Allocative Efficiency of Markets with Zero-Intelligence Traders: Market as a Partial Substitute for Individual Rationality," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 101(1), pages 119-37, February.
  8. Bruno Biais & Pierre Hillion & Chester Spatt, 1999. "Price Discovery and Learning during the Preopening Period in the Paris Bourse," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 107(6), pages 1218-1248, December.
  9. Thorsten Hens & Klaus Reiner Schenk-Hoppé & Martin Stalder, . "An Application of Evolutionary Finance to Firms Listed in the Swiss Market Index," IEW - Working Papers, Institute for Empirical Research in Economics - University of Zurich 128, Institute for Empirical Research in Economics - University of Zurich.
  10. repec:att:wimass:9621 is not listed on IDEAS
  11. LeBaron, Blake, 2000. "Agent-based computational finance: Suggested readings and early research," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 24(5-7), pages 679-702, June.
  12. KIRMAN, Alan & TEYSSIÈRE, Gilles, 2002. "Bubbles and long-range dependence in asset prices volatilities," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2002060, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  13. Amihud, Yakov & Mendelson, Haim, 1987. " Trading Mechanisms and Stock Returns: An Empirical Investigation," Journal of Finance, American Finance Association, American Finance Association, vol. 42(3), pages 533-53, July.
  14. Plott, Charles R. & Sunder, Shyam., . "Rational Expectations and the Aggregation of Diverse Information in Laboratory Security Markets," Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences 463, California Institute of Technology, Division of the Humanities and Social Sciences.
  15. Marengo, Luigi & Tordjman, Helene, 1996. "Speculation, Heterogeneity and Learning: A Simulation Model of Exchange Rates Dynamics," Kyklos, Wiley Blackwell, Wiley Blackwell, vol. 49(3), pages 407-38.
  16. Stoll, Hans R & Whaley, Robert E, 1990. "Stock Market Structure and Volatility," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 3(1), pages 37-71.
  17. Gode, Dhananjay K & Sunder, Shyam, 1997. "What Makes Markets Allocationally Efficient?," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 112(2), pages 603-30, May.
  18. Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 22(8-9), pages 1235-1274, August.
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Citations

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Cited by:
  1. Hens, Thorsten & Schenk-Hoppe, Klaus Reiner, 2005. "Evolutionary finance: introduction to the special issue," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 41(1-2), pages 1-5, February.
  2. Lux, Thomas, 2008. "Stochastic behavioral asset pricing models and the stylized facts," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics 2008,08, Christian-Albrechts-University of Kiel, Department of Economics.
  3. Paolo Pellizzari & Arianna Dal Forno, 2005. "A comparison of different trading protocols in an agent-based market," Computational Economics, EconWPA 0511001, EconWPA.
  4. Cappellini, Alessandro & Ferraris, Gianluigi, 2007. "Waiting Times in Simulated Stock Markets," MPRA Paper 7324, University Library of Munich, Germany.
  5. Gerasymchuk, S. & Pavlov, O.V., 2010. "Asset Price Dynamics with Local Interactions under Heterogeneous Beliefs," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance 10-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  6. LiCalzi, Marco & Pellizzari, Paolo, 2006. "Breeds of risk-adjusted fundamentalist strategies in an order-driven market," Physica A: Statistical Mechanics and its Applications, Elsevier, Elsevier, vol. 359(C), pages 619-633.
  7. Sylvain Mignot & Gabriele Tedeschi & Annick Vignes, 2012. "An Agent Based Model of Switching: The Case of Boulogne S/mer Fish Market," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 15(2), pages 3.
  8. Ladley, Dan & Schenk-Hoppé, Klaus Reiner, 2009. "Do stylised facts of order book markets need strategic behaviour?," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 33(4), pages 817-831, April.
  9. Valentyn Panchenko & Sergiy Gerasymchuk & Oleg V. Pavlov, 2013. "Asset Price Dynamics with Heterogeneous Beliefs and Local Network Interactions," Discussion Papers, School of Economics, The University of New South Wales 2013-18, School of Economics, The University of New South Wales.
  10. Valentyn Panchenko & Sergiy Gerasymchuk & Oleg V. Pavlov, 2007. "Asset price dynamics with small world interactions under hetereogeneous beliefs," Working Papers, Department of Applied Mathematics, Università Ca' Foscari Venezia 149, Department of Applied Mathematics, Università Ca' Foscari Venezia.
  11. Marco LiCalzi & Paolo Pellizzari, 2005. "Simple market protocols for efficient risk sharing," Finance, EconWPA 0504019, EconWPA.
  12. Franke, Reiner, 2008. "On the Interpretation of Price Adjustments and Demand in Asset Pricing Models with Mean-Variance Optimization," Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics 2008,13, Christian-Albrechts-University of Kiel, Department of Economics.
  13. Panchenko, Valentyn & Gerasymchuk, Sergiy & Pavlov, Oleg V., 2013. "Asset price dynamics with heterogeneous beliefs and local network interactions," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 37(12), pages 2623-2642.
  14. Mannaro, Katiuscia & Marchesi, Michele & Setzu, Alessio, 2008. "Using an artificial financial market for assessing the impact of Tobin-like transaction taxes," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 67(2), pages 445-462, August.

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