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Citations for "Volatility Clustering in Financial Markets: A Micro-Simulation of Interacting Agents"

by Lux, T. & M. Marchesi

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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.):
  1. Paul De Grauwe & Marianna Grimaldi, 2004. "Bubbles and Crashes in a Behavioural Finance Model," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
  2. Gunduz Caginalp & Vladimira Ilieva, 2006. "The dynamics of trader motivations in asset bubbles," Labsi Experimental Economics Laboratory University of Siena 008, University of Siena. [Downloadable!]
  3. Xue-Zhong He & Youwei Li, 2005. "Long Memory, Heterogeneity and Trend Chasing," Research Paper Series 148, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
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  4. Paul de Grauwe & Roberto Dieci & Marianna Grimaldi, 2005. "Fundamental and Non-Fundamental Equilibria in the Foreign Exchange Market. A Behavioural Finance Framework," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
  5. Paul De Grauwe & Marianna Grimaldi, 2003. "Intervention in the Foreign Exchange Market in a Model with Noise Traders," Working Papers 162003, Hong Kong Institute for Monetary Research. [Downloadable!]
  6. Hommes, C.H.,, 2005. "Heterogeneous Agents Models: two simple examples, forthcoming In: Lines, M. (ed.) Nonlinear Dynamical Systems in Economics, CISM Courses and Lectures, Springer, 2005, pp.131-164," CeNDEF Working Papers 05-01, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
  7. Cristian Wieland & Frank Westerhoff, 2004. "A behavioral cobweb model with heterogeneous speculators," Computing in Economics and Finance 2004 171, Society for Computational Economics. [Downloadable!]
  8. Christian Bauer, 2007. "A Better Asymmetric Model of Changing Volatility in Stock and Exchange Rate Returns: Trend-GARCH," European Journal of Finance, Taylor and Francis Journals, vol. 13(1), pages 65-87, January. [Downloadable!] (restricted)
  9. Hommes, C.H., 2001. "Modeling the stylized facts in finance through simple nonlinear adaptive systems," CeNDEF Working Papers 01-06, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
  10. Li, Youwei & Donkers, Bas & Melenberg, Bertrand, 2006. "The econometric analysis of microscopic simulation models," Discussion Paper 99, Tilburg University, Center for Economic Research. [Downloadable!]
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  11. Christian Bauer & Bernhard Herz, 2004. "Technical trading and the Volatility of Exchange Rates," Macroeconomics, Department of Economics, Economics I, Bayreuth University, vol. 4(4), pages 1-16. [Downloadable!]
  12. repec:att:wimass:192017 is not listed on IDEAS
  13. Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2002. "Evolutionary dynamics in markets with many trader types," CeNDEF Working Papers 02-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
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  14. Markus Haberer, 2004. "Might a Securities Transactions Tax Mitigate Excess Volatility?: Some Evidence From the Literature," CoFE Discussion Paper 04-06, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
  15. Frank Westerhoff & Cristian Wieland, . "Exchange rate dynamics, central bank interventions and chaos control methods," Modeling, Computing, and Mastering Complexity 2003 22, Society for Computational Economics. [Downloadable!]
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  16. Gaunersdorfer, A. & Hommes, C.H. & Wagener, F.O.O., 2003. "Bifurcation Routes to Volatility Clustering under Evolutionary Learning," CeNDEF Working Papers 03-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
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  17. Marco LiCalzi & Paolo Pellizzari, 2002. "Fundamentalists Clashing over the Book: A Study of Order-Driven Stock Markets," Computational Economics 0207001, EconWPA, revised 04 Mar 2003. [Downloadable!]
  18. Christian Bauer & Paul De Grauwe & Stefan Reitz, 2007. "Exchange Rates Dynamics in a Target Zone – A Heterogeneous Expectations Approach," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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  19. Cars Hommes & Thomas Lux, 2008. "Individual Expectations and Aggregate Behavior in Learning to Forecast Experiments," Kiel Working Papers 1466, Kiel Institute for the World Economy. [Downloadable!]
  20. Demary, Markus, 2006. "Transaction taxes, traders' behavior and exchange rate risks," Economics Working Papers 2006,14, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
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  21. Xue-Zhong (Tony) He & Carl Chiarella, 2001. "Asset Price and Wealth Dynamics under Heterogeneous Expectations," CeNDEF Workshop Papers, January 2001 5A.2, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
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  22. Leigh Tesfatsion, 2002. "Agent-Based Computational Economics," Computational Economics 0203001, EconWPA, revised 15 Aug 2002. [Downloadable!]
  23. 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!]
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  24. Ahmad Naimzada & Giorgio Ricchiuti, 2006. "Heterogeneous Fundamentalists and Imitative Processes," Working Papers 104, University of Milano-Bicocca, Department of Economics, revised Nov 2006. [Downloadable!]
  25. Henrik Amilon, 2003. "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Research Paper Series 107, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  26. David Goldbaum, 2000. "Profitability And Market Stability: Fundamentals And Technical Trading Rules," Computing in Economics and Finance 2000 85, Society for Computational Economics. [Downloadable!]
  27. 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!]
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  28. Andrea Morone, 2005. "Financial Market in the Laboratory, an Experimental Analysis of some Stylized Facts," Papers on Strategic Interaction 2005-27, Max Planck Institute of Economics, Strategic Interaction Group. [Downloadable!]
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  29. Christian Pierdzioch, 2004. "Feedback Trading and Predictability of Stock Returns in Germany, 1880-1913," Kiel Working Papers 1213, Kiel Institute for the World Economy. [Downloadable!]
  30. Bernhard Herz & Christian Bauer, 2005. "Technical trading, monetary policy, and exchange rate regimes," Macroeconomics, Department of Economics, Economics I, Bayreuth University, vol. 15(3), pages 281-302. [Downloadable!]
  31. Mikhail Anufriev & Giulio Bottazzi & Francesca Pancotto, 2004. "Price and Wealth Asymptotic Dynamics with CRRA Technical Trading Strategies," LEM Papers Series 2004/23, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
  32. Frank Westerhoff & Martin Hohnisch, 2007. "A note on interactions-driven business cycles," Journal of Economic Interaction and Coordination, Springer, vol. 2(1), pages 85-91, June. [Downloadable!] (restricted)
  33. Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters, 2004. "Random walks, liquidity molasses and critical response in financial markets," Science & Finance (CFM) working paper archive 500063, Science & Finance, Capital Fund Management. [Downloadable!]
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  34. Lux, Thomas & Schornstein, Sascha, 2003. "Genetic learning as an explanation of stylized facts of foreign exchange markets," Economics Working Papers Economics working paper /, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
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  35. Ned Corron & Xue-Zhong He & Frank Westerhoff, 2005. "Butter Mountains, Milk Lakes and Optimal Price Limiters," Research Paper Series 158, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
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  36. Marianna Grimaldi & Paul De Grauwe, 2003. "Bubbling and Crashing Exchange Rates," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
  37. 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. [Downloadable!]
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  38. Frank Westerhoff & Cristian Wieland, . "Spill-over dynamics of central bank interventions," Modeling, Computing, and Mastering Complexity 2003 21, Society for Computational Economics. [Downloadable!]
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  39. Demary, Markus, 2007. "A Heterogenous Agents Model Usable for the Analysis of Currency Transaction Taxes," Economics Working Papers 2007,27, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
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  40. Siddiqi, Hammad, 2007. "Rational Interacting Agents and Volatility Clustering: A New Approach," MPRA Paper 2984, University Library of Munich, Germany. [Downloadable!]
  41. Gomes, Orlando, 2007. "Consumer confidence, endogenous growth and endogenous cycles," MPRA Paper 2883, University Library of Munich, Germany. [Downloadable!]
  42. Alfarano, Simone & Lux, Thomas, 2003. "A minimal noise trader model with realistic time series properties," Economics Working Papers 2003,15, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
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  43. De Grauwe, Paul & Grimaldi, Marianna, 2004. "Exchange Rate Puzzles: A Tale of Switching Attractors," Working Paper Series 163, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
  44. Stefan Reitz & Frank Westerhoff, 2004. "Target Zone Interventions and Coordination of Expectations," Computing in Economics and Finance 2004 11, Society for Computational Economics. [Downloadable!]
  45. Hommes, C.H. & Huang, H. & Wang, D., 2002. "A Robust Rational Route to in a Simple Asset Pricing Model (revised March 2004)," CeNDEF Working Papers 02-08, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
  46. Paul De Grauwe & Marianna Grimaldi, 2002. "The Exchange Rate in a Model with Heterogeneous Agents and Transactions Costs," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
  47. Ilaria Foroni & Anna Agliari, 2008. "Complex Price Dynamics in a Financial Market with Imitation," Computational Economics, Springer, vol. 32(1), pages 21-36, September. [Downloadable!] (restricted)
  48. Xue-Zhong He & Frank H. Westerhoff, 2004. "Commodity Markets, Price Limiters and Speculative Price Dynamics," Research Paper Series 136, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
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  49. Frank H. Westerhoff, 2007. "On central bank interventions and transaction taxes," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 3(1), pages 11-14, January. [Downloadable!] (restricted)
  50. Stefan Reitz & Frank Westerhoff, 2003. "Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists," CFS Working Paper Series 2003/10, Center for Financial Studies. [Downloadable!]
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  51. C. Lawrenz & F. Westerhoff, 2003. "Modeling Exchange Rate Behavior with a Genetic Algorithm," Computational Economics, Springer, vol. 21(3), pages 209-229, June. [Downloadable!] (restricted)
  52. Andrea Morone, 2004. "Financial Market in the Laboratory," Experimental 0401002, EconWPA. [Downloadable!]
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  53. Simone Alfarano & Thomas Lux & Friedrich Wagner, 2005. "Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model," Computational Economics, Springer, vol. 26(1), pages 19-49, August. [Downloadable!] (restricted)
  54. Amilon, Henrik, 2005. "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Working Paper Series 177, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
  55. Gaunersdorfer, A. & Hommes, C.H.,, 2005. "A nonlinear structural model for volatility clustering," CeNDEF Working Papers 05-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
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  56. Adrian R. Pagan & Kirill A. Sossounov, 2003. "A simple framework for analysing bull and bear markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 23-46. [Downloadable!]
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This page was last updated on 2009-12-21.

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