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Time variation of second moments from a noise trader/infection model

  • Lux, Thomas

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File URL: http://www.sciencedirect.com/science/article/B6V85-3SX6H28-1/2/6cc33073dacc1f74b9e01dc278ce95d1
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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 22 (1997)
Issue (Month): 1 (November)
Pages: 1-38

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Handle: RePEc:eee:dyncon:v:22:y:1997:i:1:p:1-38
Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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  3. De Long, James Bradford & Summers, Lawrence H, 1986. "Is Increased Price Flexibility Stabilizing?," American Economic Review, American Economic Association, vol. 76(5), pages 1031-44, December.
  4. Camerer, Colin & Weigelt, Keith, 1991. "Information Mirages in Experimental Asset Markets," The Journal of Business, University of Chicago Press, vol. 64(4), pages 463-93, October.
  5. Taylor, Mark P. & Allen, Helen, 1992. "The use of technical analysis in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 11(3), pages 304-314, June.
  6. J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann,, . "The Survival of Noise Traders in Financial Markets," J. Bradford De Long's Working Papers _123, University of California at Berkeley, Economics Department.
  7. Haugen, Robert A & Talmor, Eli & Torous, Walter N, 1991. " The Effect of Volatility Changes on the Level of Stock Prices and Subsequent Expected Returns," Journal of Finance, American Finance Association, vol. 46(3), pages 985-1007, July.
  8. Masanao Aoki, 1995. "Economic Fluctuations With Interactive Agents: Dynamic And Stochastic Externalities," The Japanese Economic Review, Japanese Economic Association, vol. 46(2), pages 148-165, 06.
  9. De Long, J Bradford & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1990. "Noise Trader Risk in Financial Markets," Journal of Political Economy, University of Chicago Press, vol. 98(4), pages 703-38, August.
  10. A. Meltzer & Peter Ordeshook & Thomas Romer, 1983. "Introduction," Public Choice, Springer, vol. 41(1), pages 1-5, January.
  11. De Bondt, Werner F M & Thaler, Richard, 1985. " Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
  12. Duxbury, Darren, 1995. " Experimental Asset Markets within Finance," Journal of Economic Surveys, Wiley Blackwell, vol. 9(4), pages 331-71, December.
  13. William A. Brock & Steven N. Durlauf, 1995. "Discrete Choice with Social Interactions I: Theory," Working Papers 95-10-084, Santa Fe Institute.
  14. David M. Cutler & James M. Poterba & Lawrence H. Summers, 1988. "What Moves Stock Prices?," NBER Working Papers 2538, National Bureau of Economic Research, Inc.
  15. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
  16. Shiller, 021Robert J. & Pound, John, 1989. "Survey evidence on diffusion of interest and information among investors," Journal of Economic Behavior & Organization, Elsevier, vol. 12(1), pages 47-66, August.
  17. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
  18. Ramsey, James B., 1996. "On the existence of macro variables and of macro relationships," Journal of Economic Behavior & Organization, Elsevier, vol. 30(3), pages 275-299, September.
  19. LeRoy, Stephen F, 1989. "Efficient Capital Markets and Martingales," Journal of Economic Literature, American Economic Association, vol. 27(4), pages 1583-1621, December.
  20. Lux, Thomas, 1995. "Herd Behaviour, Bubbles and Crashes," Economic Journal, Royal Economic Society, vol. 105(431), pages 881-96, July.
  21. Kelly, Morgan, 1994. "Big shocks versus small shocks in a dynamic stochastic economy with many interacting agents," Journal of Economic Dynamics and Control, Elsevier, vol. 18(2), pages 397-410, March.
  22. A. P. Thirlwall, 1983. "Introduction," Journal of Post Keynesian Economics, M.E. Sharpe, Inc., vol. 5(3), pages 341-344, April.
  23. Aoki, Masanao, 1994. "New macroeconomic modeling approaches : Hierarchical dynamics and mean-field approximation," Journal of Economic Dynamics and Control, Elsevier, vol. 18(3-4), pages 865-877.
  24. Lux, Thomas, 1998. "The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions," Journal of Economic Behavior & Organization, Elsevier, vol. 33(2), pages 143-165, January.
  25. Smith, Vernon L & Suchanek, Gerry L & Williams, Arlington W, 1988. "Bubbles, Crashes, and Endogenous Expectations in Experimental Spot Asset Markets," Econometrica, Econometric Society, vol. 56(5), pages 1119-51, September.
  26. W. A. Brock, 1993. "Pathways to Randomness in the Economy: Emergent Nonlinearity and Chaos in Economics and Finance," Working Papers 93-02-006, Santa Fe Institute.
  27. Tullock, Gordon, 1992. "Hawks, Doves, and Free Riders," Kyklos, Wiley Blackwell, vol. 45(1), pages 25-36.
  28. Higgins, Matthew L & Bera, Anil K, 1992. "A Class of Nonlinear ARCH Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(1), pages 137-58, February.
  29. Weidlich, Wolfgang & Braun, Martin, 1992. "The Master Equation Approach to Nonlinear Economics," Journal of Evolutionary Economics, Springer, vol. 2(3), pages 233-65, October.
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