This paper has been announced in the following NEP Reports:

• NEP-ALL-2005-02-13 (All new papers)
• NEP-FIN-2005-02-13 (Finance)
• NEP-FMK-2005-02-13 (Financial Markets)

1. P. Bak & M. Paczuski & M. Shubik, 1996. "Price Variations in a Stock Market with Many Agents," Working Papers 96-09-075, Santa Fe Institute.
   Other versions:
   • P. Bak & M. Paczuski & Martin Shubik, 1996. "Price Variations in a Stock Market with Many Agents," Cowles Foundation Discussion Papers 1132, Cowles Foundation, Yale University. [Downloadable!]
2. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-55, January. [Downloadable!] (restricted)
3. Peter Bak & Kan Chen & Jose Scheinkman & Michael Woodford, 1992. "Aggregate Fluctuations from Independent Sectoral Shocks: Self-Organized Criticality in a Model of Production and Inventory Dynamics," NBER Working Papers 4241, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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   • Bak, Per & Chen, Kan & Scheinkman, Jose & Woodford, Michael, 1993. "Aggregate fluctuations from independent sectoral shocks: self-organized criticality in a model of production and inventory dynamics," Ricerche Economiche, Elsevier, vol. 47(1), pages 3-30, March. [Downloadable!] (restricted)
4. Rama Cont & Marc Potters & Jean-Philippe Bouchaud, 1997. "Scaling in stock market data: stable laws and beyond," Quantitative Finance Papers cond-mat/9705087, arXiv.org. [Downloadable!]
5. Muller, Ulrich A. & Dacorogna, Michel M. & Olsen, Richard B. & Pictet, Olivier V. & Schwarz, Matthias & Morgenegg, Claude, 1990. "Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis," Journal of Banking & Finance, Elsevier, vol. 14(6), pages 1189-1208, December. [Downloadable!] (restricted)
6. Bikhchandani, Sushil & Hirshleifer, David & Welch, Ivo, 1992. "A Theory of Fads, Fashion, Custom, and Cultural Change in Informational Cascades," Journal of Political Economy, University of Chicago Press, vol. 100(5), pages 992-1026, October. [Downloadable!] (restricted)
7. Trueman, Brett, 1994. "Analyst Forecasts and Herding Behavior," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 7(1), pages 97-124. [Downloadable!] (restricted)
8. Rama Cont & Marc Potters & Jean-Philippe Bouchaud, 1997. "Scaling in stock market data: stable laws and beyond," Science & Finance (CFM) working paper archive 9705087, Science & Finance, Capital Fund Management. [Downloadable!]
9. Grinblatt, Mark & Titman, Sheridan & Wermers, Russ, 1995. "Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior," American Economic Review, American Economic Association, vol. 85(5), pages 1088-1105, December. [Downloadable!] (restricted)
10. Yannis M. Ioannides, 1996. "Evolution of Trading Structures," Working Papers 96-04-020, Santa Fe Institute.
11. G. Caldarelli & M. Marsili & Y. -C. Zhang, 1997. "A Prototype Model of Stock Exchange," Quantitative Finance Papers cond-mat/9709118, arXiv.org. [Downloadable!]
12. Welch, Ivo, 2000. "Herding among security analysts," Journal of Financial Economics, Elsevier, vol. 58(3), pages 369-396, December. [Downloadable!] (restricted)
13. Richard B. Olsen & Ulrich A. Müller & Michel M. Dacorogna & Olivier V. Pictet & Rakhal R. Davé & Dominique M. Guillaume, 1997. "From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (*)," Finance and Stochastics, Springer, vol. 1(2), pages 95-129. [Downloadable!] (restricted)
14. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May. [Downloadable!] (restricted)
15. Topol, Richard, 1991. "Bubbles and Volatility of Stock Prices: Effect of Mimetic Contagion," Economic Journal, Royal Economic Society, vol. 101(407), pages 786-800, July. [Downloadable!] (restricted)
16. Scharfstein, David S & Stein, Jeremy C, 1990. "Herd Behavior and Investment," American Economic Review, American Economic Association, vol. 80(3), pages 465-79, June.
    Other versions:
    • Scharfstein, David. & Stein, Jeremy C., 1988. "Herd behavior and investment," Working papers WP 2062-88., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
17. Kirman, A., 1997. "Interaction and Markets," G.R.E.Q.A.M. 97a02, Universite Aix-Marseille III.
    Other versions:
    • Kirman, A., 1997. "Interaction and Markets," ASSET - Instituto De Economia Publica 166, ASSET (Association of Southern European Economic Theorists).
18. Kirman, Alan P., 1983. "Communication in markets : A suggested approach," Economics Letters, Elsevier, vol. 12(2), pages 101-108. [Downloadable!] (restricted)
19. Engle, Robert F & Gonzalez-Rivera, Gloria, 1991. "Semiparametric ARCH Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(4), pages 345-59, October.
    Other versions:
    • Robert F. Engle & Gloria Gonzalez-Rivera, 1990. "Semiparametric Arch Models," University of California at San Diego, Economics Working Paper Series 89-17r, Department of Economics, UC San Diego.
20. David M. Cutler & James M. Poterba & Lawrence H. Summers, 1989. "What Moves Stock Prices?," NBER Working Papers 2538, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    • David H. Cutler & James M. Poterba & Lawrence H. Summers, 1988. "What Moves Stock Prices?," Working papers 487, Massachusetts Institute of Technology (MIT), Department of Economics.
21. Kirman, Alan P & Oddou, Claude & Weber, Shlomo, 1986. "Stochastic Communication and Coalition Formation," Econometrica, Econometric Society, vol. 54(1), pages 129-38, January. [Downloadable!] (restricted)
22. Ionnides, Yannis M, 1990. "Trading Uncertainty and Market Form," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 31(3), pages 619-38, August. [Downloadable!] (restricted)

Cited by:
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1. Valentyn Panchenko & Sergiy Gerasymchuk & Oleg V. Pavlov, 2007. "Asset price dynamics with small world interactions under hetereogeneous beliefs," Working Papers 149, Department of Applied Mathematics, University of Venice. [Downloadable!]
2. Steinbacher, Matjaz, 2009. "Knowledge, Preferences and Shocks in Portfolio Analysis," MPRA Paper 13567, University Library of Munich, Germany. [Downloadable!]
3. M.G. Zimmermann, V. M. Eguiluz, 2001. "Evolution of Cooperative Networks and the Emergence of Leadership," Computing in Economics and Finance 2001 171, Society for Computational Economics. [Downloadable!]
4. R. D. Groot, 2004. "Levy distribution and long correlation times in supermarket sales," Quantitative Finance Papers cond-mat/0412163, arXiv.org. [Downloadable!]
5. A. Corcos & J. -P. Eckmann & A. Malaspinas & Y. Malevergne & D. Sornette, 2001. "Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos," Quantitative Finance Papers cond-mat/0109410, arXiv.org. [Downloadable!]
6. Makoto Nirei, 2008. "Self-organized criticality in a herd behavior model of financial markets," Journal of Economic Interaction and Coordination, Springer, vol. 3(1), pages 89-97, June. [Downloadable!] (restricted)
7. G. Ehrenstein & F. Westerhoff & D. Stauffer, 2003. "Tobin tax and market depth," Quantitative Finance Papers cond-mat/0311581, arXiv.org. [Downloadable!]
8. Yang, J-H.S. & Satchell, S.E., 2003. "Endogenous Correlation," Cambridge Working Papers in Economics 0321, Faculty of Economics, University of Cambridge. [Downloadable!]
9. Michael A. Clemens & Jeffrey G. Williamson, 2000. "Where did British Foreign Capital Go? Fundamentals, Failures and the Lucas Paradox: 1870-1913," NBER Working Papers 8028, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
10. Marco Raberto & Silvano Cincotti & Sergio Focardi & Michele Marchesi, 2003. "Traders' Long-Run Wealth in an Artificial Financial Market," Computational Economics, Springer, vol. 22(2), pages 255-272, October. [Downloadable!] (restricted)
    Other versions:
    • Marco Raberto & Silvano Cincott & Sergio M. Focardi & Michele Marchesi, 2002. "Traders’ long-run wealth in an artificial financial market," Computing in Economics and Finance 2002 301, Society for Computational Economics.
11. S. Reimann & A. Tupak, 2007. "Prices are macro-observables! Stylized facts from evolutionary finance," Computational Economics, Springer, vol. 29(3), pages 313-331, May. [Downloadable!] (restricted)
12. Gudrun Ehrenstein, 2002. "Cont-Bouchaud percolation model including Tobin tax," Quantitative Finance Papers cond-mat/0205320, arXiv.org. [Downloadable!]
13. Arnswald, Torsten, 2001. "Investment Behaviour of German Equity Fund Managers," Discussion Paper Series 1: Economic Studies 2001,08, Deutsche Bundesbank, Research Centre. [Downloadable!]
14. Frank Westerhoff, 2004. "The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach," Computing in Economics and Finance 2004 14, Society for Computational Economics. [Downloadable!]
    Other versions:
    • 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. [Downloadable!] (restricted)
15. Paul Jefferies & Michael Hart & Neil Johnson & P.M. Hui, 2001. "From market games to real-world markets," OFRC Working Papers Series 2001mf02, Oxford Financial Research Centre. [Downloadable!]
16. Denis Phan & Stephane Pajot & Jean-Pierre Nadal, 2003. "The Monopolist's Market with Discrete Choices and Network Externality Revisited: Small-Worlds, Phase Transition and Avalanches in an ACE Framework," Computing in Economics and Finance 2003 150, Society for Computational Economics. [Downloadable!]
17. Oliver Hein & Michael Schwind & Markus Spiwoks, 2008. "Frankfurt Artificial Stock Market: a microscopic stock market model with heterogeneous interacting agents in small-world communication networks," Journal of Economic Interaction and Coordination, Springer, vol. 3(1), pages 59-71, June. [Downloadable!] (restricted)
18. Hokky Situngkir & Yohanes Surya, 2005. "On Stock Market Dynamics through Ultrametricity of Minimum Spanning Tree," Macroeconomics 0505010, EconWPA. [Downloadable!]
19. Didier Sornette & Wei-Xing Zhou, 2005. "Importance of Positive Feedbacks and Over-confidence in a Self-Fulfilling Ising Model of Financial Markets," Quantitative Finance Papers cond-mat/0503607, arXiv.org, revised Mar 2005. [Downloadable!]
20. Michel Beine & Agnes Benassy-Quere & Helene Colas, 2003. "Imitation Amongst Exchange-Rate Forecasters: Evidence from Survey Data," Working Papers 2003-08, CEPII research center. [Downloadable!]
    Other versions:
    • Michel Beine & Agnès Bénassy-Quéré & Hélène Colas, 2003. "Imitation Amongst Exchange-Rate Forecasters: Evidence from Survey Data," THEMA Working Papers 2003-39, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]