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A noise trader model as a generator of apparent financial power laws and long memory Author info | Abstract | Publisher info | Download info | Related research | Statistics Alfarano, Simone
Lux, Thomas
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Paper provided by Christian-Albrechts-University of Kiel, Department of Economics in its series Economics Working Papers with number
2005,13.
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Date of creation: 2005Date of revision:
Handle: RePEc:zbw:cauewp:3559Contact details of provider: Web page: http://www.wiso.uni-kiel.de/econ/
For technical questions regarding this item, or to correct its listing, contact: (ZBW - German National Library for Economics).
Keywords: Herd Behavior ; Speculative Dynamics ; Fat Tails ; Volatility Clustering ; Other versions of this item:
Find related papers by JEL classification: C61 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Optimization Techniques; Programming Models; Dynamic Analysis G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
This paper has been announced in the following NEP Reports :
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: 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: Friedrich Wagner & Thomas Lux & Simone Alfarano, 2005.
"Time-Variation of Higher Moments in a Financial Market with Heterogeneous Agents: An Analytical Approach ,"
Working Papers
wp05-02, Warwick Business School, Financial Econometrics Research Centre.
[Downloadable!]
Other versions:
Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2006.
"Time-variation of higher moments in a financial market with heterogeneous agents : an analytical approach ,"
Economics Working Papers
2006,16, Christian-Albrechts-University of Kiel, Department of Economics.
[Downloadable!] Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2005.
"Time-variation of higher moments in a financial market with heterogeneous agents : an analytical approach ,"
Economics Working Papers
2005,14, Christian-Albrechts-University of Kiel, Department of Economics.
[Downloadable!] Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2008.
"Time variation of higher moments in a financial market with heterogeneous agents: An analytical approach ,"
Journal of Economic Dynamics and Control ,
Elsevier, vol. 32(1), pages 101-136, January.
[Downloadable!] (restricted) Lux, T. & M. Marchesi, .
"Volatility Clustering in Financial Markets: A Micro-Simulation of Interacting Agents ,"
Discussion Paper Serie B
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Econometrics
9605004, EconWPA, revised 26 Sep 1996.
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Lobato, I.N. & Savin, N.E., 1996.
"Real and Spurious Long Memory Properties of Stock Market Data ,"
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Other versions: Gaunersdorfer, A. & Hommes, C.H., 2000.
"A Nonlinear Structural Model for Volatility Clustering ,"
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Other versions: De Vries, C.G. & Leuven, K.U., 1994.
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94-002, Purdue University, Krannert School of Management - Center for International Business Education and Research (CIBER).
Andersson, Michael K. & Eklund, Bruno & Lyhagen, Johan, 1999.
"A Simple Linear Time Series Model with Misleading Nonlinear Properties ,"
Working Paper Series in Economics and Finance
300, Stockholm School of Economics.
Other versions: Simone Alfarano & Thomas Lux, 2002.
"A minimal noise trader model with realistic time series ,"
Computing in Economics and Finance 2002
317, Society for Computational Economics.
LeBaron, Blake, 2000.
"Agent-based computational finance: Suggested readings and early research ,"
Journal of Economic Dynamics and Control ,
Elsevier, vol. 24(5-7), pages 679-702, June.
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Lux, Thomas & Schornstein, Sascha, 2005.
"Genetic learning as an explanation of stylized facts of foreign exchange markets ,"
Journal of Mathematical Economics ,
Elsevier, vol. 41(1-2), pages 169-196, February.
[Downloadable!] (restricted)
Other versions:
Lux, Thomas & Schornstein, Sascha, 2002.
"Genetic learning as an explanation of stylized facts of foreign exchange markets ,"
Discussion Paper Series 1: Economic Studies
2002,29, Deutsche Bundesbank, Research Centre.
[Downloadable!] Lux, Thomas & Schornstein, Sascha, 2003.
"Genetic learning as an explanation of stylized facts of foreign exchange markets ,"
Economics Working Papers
2003,12, Christian-Albrechts-University of Kiel, Department of Economics.
[Downloadable!] Kirman, Alan, 1993.
"Ants, Rationality, and Recruitment ,"
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Georges, Christophre, 2006.
"Learning with misspecification in an artificial currency market ,"
Journal of Economic Behavior & Organization ,
Elsevier, vol. 60(1), pages 70-84, May.
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Jeffrey A. Frankel & Kenneth A. Froot, 1987.
"The Dollar as an Irrational Speculative Bubble: A Tale of Fundamentalisists ,"
NBER Working Papers
1854, National Bureau of Economic Research, Inc.
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Granger, Clive W. J. & Terasvirta, Timo, 1999.
"A simple nonlinear time series model with misleading linear properties ,"
Economics Letters ,
Elsevier, vol. 62(2), pages 161-165, February.
[Downloadable!] (restricted)
Other versions: Arifovic, Jasmina & Gencay, Ramazan, 2000.
"Statistical properties of genetic learning in a model of exchange rate ,"
Journal of Economic Dynamics and Control ,
Elsevier, vol. 24(5-7), pages 981-1005, June.
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Iori, Giulia, 2002.
"A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions ,"
Journal of Economic Behavior & Organization ,
Elsevier, vol. 49(2), pages 269-285, October.
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Other versions: Youssefmir, Michael & Huberman, Bernardo A., 1997.
"Clustered volatility in multiagent dynamics ,"
Journal of Economic Behavior & Organization ,
Elsevier, vol. 32(1), pages 101-118, January.
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J. Doyne Farmer & Shareen Joshi, 2000.
"The Price Dynamics of Common Trading Strategies ,"
Working Papers
00-12-069, Santa Fe Institute.
Other versions: Shu-Heng Chen & Thomas Lux & Michele Marchesi, 1999.
"Testing for Non-Linear Structure in an Artificial Financial Market ,"
Discussion Paper Serie B
447, University of Bonn, Germany.
Other versions: Beja, Avraham & Goldman, M Barry, 1980.
" On the Dynamic Behavior of Prices in Disequilibrium ,"
Journal of Finance ,
American Finance Association, vol. 35(2), pages 235-48, May.
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Chen, Shu-Heng & Yeh, Chia-Hsuan, 2002.
"On the emergent properties of artificial stock markets: the efficient market hypothesis and the rational expectations hypothesis ,"
Journal of Economic Behavior & Organization ,
Elsevier, vol. 49(2), pages 217-239, October.
[Downloadable!] (restricted)
Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
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.
[Downloadable!]
Lux, Thomas, 2008.
"Stochastic behavioral asset pricing models and the stylized facts ,"
Economics Working Papers
2008,08, Christian-Albrechts-University of Kiel, Department of Economics.
[Downloadable!]
Lux, Thomas & Kaizoji, Taisei, 2006.
"Forecasting volatility and volume in the Tokyo stock market : long memory, fractality and regime switching ,"
Economics Working Papers
2006,13, Christian-Albrechts-University of Kiel, Department of Economics.
[Downloadable!]
Other versions:
Taisei Kaizoji & Thomas Lux, 2006.
"Forecasting Volatility and Volume in the Tokyo Stock Market: Long Memory, Fractality and Regime Switching ,"
Working Papers
wp06-20, Warwick Business School, Financial Econometrics Research Centre.
[Downloadable!] Lux, Thomas & Kaizoji, Taisei, 2007.
"Forecasting volatility and volume in the Tokyo Stock Market: Long memory, fractality and regime switching ,"
Journal of Economic Dynamics and Control ,
Elsevier, vol. 31(6), pages 1808-1843, June.
[Downloadable!] (restricted) Lux, Thomas, 2008.
"Rational forecasts or social opinion dynamics? : identification of interaction effects in a business climate survey ,"
Economics Working Papers
2008,07, Christian-Albrechts-University of Kiel, Department of Economics.
[Downloadable!]
Thomas Lux, 2008.
"Stochastic Behavioral Asset Pricing Models and the Stylized Facts ,"
Kiel Working Papers
1426, Kiel Institute for the World Economy.
[Downloadable!]
Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2005.
"Time-variation of higher moments in a financial market with heterogeneous agents : an analytical approach ,"
Economics Working Papers
2005,14, Christian-Albrechts-University of Kiel, Department of Economics.
[Downloadable!]
Other versions:
Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2006.
"Time-variation of higher moments in a financial market with heterogeneous agents : an analytical approach ,"
Economics Working Papers
2006,16, Christian-Albrechts-University of Kiel, Department of Economics.
[Downloadable!] Friedrich Wagner & Thomas Lux & Simone Alfarano, 2005.
"Time-Variation of Higher Moments in a Financial Market with Heterogeneous Agents: An Analytical Approach ,"
Working Papers
wp05-02, Warwick Business School, Financial Econometrics Research Centre.
[Downloadable!] Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2008.
"Time variation of higher moments in a financial market with heterogeneous agents: An analytical approach ,"
Journal of Economic Dynamics and Control ,
Elsevier, vol. 32(1), pages 101-136, January.
[Downloadable!] (restricted)
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