A minimal noise trader model with realistic time series
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Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2002 with number 317.
Date of creation: 01 Jul 2002
Date of revision:
Herd behaviour; speculative dynamics; fat tails; volatility clustering;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
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- David Morton de Lachapelle & Damien Challet, 2009. "Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior," Papers 0912.4723, arXiv.org, revised Jun 2010.
- Alfarano, Simone & Lux, Thomas, 2005.
"A noise trader model as a generator of apparent financial power laws and long memory,"
Economics Working Papers
2005,13, Christian-Albrechts-University of Kiel, Department of Economics.
- 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.
- Anne Peguin-Feissolle & Gilles Dufrénot & Dominique Guegan, 2006.
"Changing-regime volatility : A fractionally integrated SETAR model,"
- Gilles Dufrenot & Dominique Guegan & Anne Peguin-Feissolle, 2008. "Changing-regime volatility: a fractionally integrated SETAR model," Applied Financial Economics, Taylor & Francis Journals, vol. 18(7), pages 519-526.
- Simone Alfarano & Thomas Lux & Friedrich Wagner, 2005. "Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model," Computational Economics, Society for Computational Economics, vol. 26(1), pages 19-49, August.
- Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2010. "Excess Volatility and Herding in an Artificial Financial Market: Analytical Approach and Estimation," MPRA Paper 24719, University Library of Munich, Germany.
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