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Queuing, Social Interactions, And The Microstructure Of Financial Markets

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  • HORST, ULRICH
  • ROTHE, CHRISTIAN

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Suggested Citation

  • Horst, Ulrich & Rothe, Christian, 2008. "Queuing, Social Interactions, And The Microstructure Of Financial Markets," Macroeconomic Dynamics, Cambridge University Press, vol. 12(02), pages 211-233, April.
  • Handle: RePEc:cup:macdyn:v:12:y:2008:i:02:p:211-233_07
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    Cited by:

    1. Lux, Thomas, 2009. "Rational forecasts or social opinion dynamics? Identification of interaction effects in a business climate survey," Journal of Economic Behavior & Organization, Elsevier, vol. 72(2), pages 638-655, November.
    2. Sch├╝tz, Gunter M. & de Almeida Prado, Fernando Pigeard & Harris, Rosemary J. & Belitsky, Vladimir, 2009. "Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(19), pages 4126-4144.
    3. Gunter M. Schutz & Fernando Pigeard de Almeida Prado & Rosemary J. Harris & Vladimir Belitsky, 2007. "Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents," Papers 0801.0003, arXiv.org, revised Jun 2009.
    4. Thomas Lux, 2009. "Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effects in a Business Climate Survey," Post-Print hal-00720175, HAL.
    5. Henkel, Christof, 2017. "From quantum mechanics to finance: Microfoundations for jumps, spikes and high volatility phases in diffusion price processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 469(C), pages 447-458.
    6. Ted Theodosopoulos, 2016. "Hierarchical economic agents and their interactions," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 11(2), pages 345-377, October.
    7. Barucci, Emilio & Tolotti, Marco, 2012. "Social interaction and conformism in a random utility model," Journal of Economic Dynamics and Control, Elsevier, vol. 36(12), pages 1855-1866.
    8. Lux, Thomas, 2009. "Mass psychology in action: identification of social interaction effects in the German stock market," Kiel Working Papers 1514, Kiel Institute for the World Economy (IfW).
    9. Christof Henkel, 2016. "From quantum mechanics to finance: Microfoundations for jumps, spikes and high volatility phases in diffusion price processes," Papers 1609.05286, arXiv.org, revised Oct 2016.
    10. Tae-Seok Jang, 2015. "Identification of Social Interaction Effects in Financial Data," Computational Economics, Springer;Society for Computational Economics, vol. 45(2), pages 207-238, February.
    11. Chiarella, Carl & He, Xue-Zhong & Zheng, Min, 2011. "An analysis of the effect of noise in a heterogeneous agent financial market model," Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 148-162, January.
    12. Ulrich Horst & Michael Paulsen, 2015. "A law of large numbers for limit order books," Papers 1501.00843, arXiv.org.
    13. Christian Bayer & Ulrich Horst & Jinniao Qiu, 2014. "A Functional Limit Theorem for Limit Order Books with State Dependent Price Dynamics," Papers 1405.5230, arXiv.org, revised Aug 2016.
    14. Lux, Thomas, 2012. "Estimation of an agent-based model of investor sentiment formation in financial markets," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1284-1302.
    15. Christof Henkel, 2016. "An agent behavior based model for diffusion price processes with application to phase transition and oscillations," Papers 1606.08269, arXiv.org.

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