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

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  • Lux, Thomas

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  • Lux, Thomas, 1997. "Time variation of second moments from a noise trader/infection model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(1), pages 1-38, November.
  • Handle: RePEc:eee:dyncon:v:22:y:1997:i:1:p:1-38
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    2. Day, Richard H. & Huang, Weihong, 1990. "Bulls, bears and market sheep," Journal of Economic Behavior & Organization, Elsevier, vol. 14(3), pages 299-329, December.
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    12. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
    13. Merville, Larry J. & Pieptea, Dan R., 1989. "Stock-price volatility, mean-reverting diffusion, and noise," Journal of Financial Economics, Elsevier, vol. 24(1), pages 193-214, September.
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