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The impact of information signals on market prices when agents have non-linear trading rules

  • Kyrtsou, Catherine
  • Malliaris, Anastasios G.

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File URL: http://www.sciencedirect.com/science/article/B6VB1-4TKBP6K-1/2/21b9335e053fea8951813fc196d20f89
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Article provided by Elsevier in its journal Economic Modelling.

Volume (Year): 26 (2009)
Issue (Month): 1 (January)
Pages: 167-176

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Handle: RePEc:eee:ecmode:v:26:y:2009:i:1:p:167-176
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30411

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  1. Nathan S. Balke & Thomas B. Fomby, 1991. "Large shocks, small shocks, and economic fluctuations: outliers in macroeconomic times series," Research Paper 9101, Federal Reserve Bank of Dallas.
  2. Franke, Reiner & Sethi, Rajiv, 1998. "Cautious trend-seeking and complex asset price dynamics," Research in Economics, Elsevier, vol. 52(1), pages 61-79, March.
  3. Vega, Clara, 2006. "Stock price reaction to public and private information," Journal of Financial Economics, Elsevier, vol. 82(1), pages 103-133, October.
  4. Kurz, Mordecai & Jin, Hehui & Motolese, Maurizio, 2005. "The role of expectations in economic fluctuations and the efficacy of monetary policy," Journal of Economic Dynamics and Control, Elsevier, vol. 29(11), pages 2017-2065, November.
  5. Kyrtsou, Catherine & Labys, Walter C., 2007. "Detecting positive feedback in multivariate time series: The case of metal prices and US inflation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(1), pages 227-229.
  6. Bollerslev, T. & Ghysels, E., 1994. "Periodic Autoregressive Conditional Heteroskedasticity," Cahiers de recherche 9408, Universite de Montreal, Departement de sciences economiques.
  7. Catherine Kyrtsou & Michel Terraza, 2003. "Is it Possible to Study Chaotic and ARCH Behaviour Jointly? Application of a Noisy Mackey–Glass Equation with Heteroskedastic Errors to the Paris Stock Exchange Returns Series," Computational Economics, Society for Computational Economics, vol. 21(3), pages 257-276, June.
  8. Beller, Kenneth & Nofsinger, John R, 1998. "On Stock Return Seasonality and Conditional Heteroskedasticity," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 21(2), pages 229-46, Summer.
  9. van Dijk, D.J.C. & Franses, Ph.H.B.F. & Lucas, A., 1996. "Testing for ARCH in the Presence of Additive Outliers," Econometric Institute Research Papers EI 9659-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  10. Lee, Wayne Y. & Jiang, Christine X. & Indro, Daniel C., 2002. "Stock market volatility, excess returns, and the role of investor sentiment," Journal of Banking & Finance, Elsevier, vol. 26(12), pages 2277-2299.
  11. Hirshleifer, David & Subrahmanyam, Avanidhar & Titman, Sheridan, 2004. "Feedback and the Success of Irrational Investors," Working Paper Series 2004-8, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  12. Kent Daniel & Sheridan Titman, 2006. "Market Reactions to Tangible and Intangible Information," Journal of Finance, American Finance Association, vol. 61(4), pages 1605-1643, 08.
  13. Catherine Kyrtsou & Alexandros Leontitsis & Costas Siriopoulos, 2006. "Exploring The Impact Of Calendar Effects On The Dynamic Structure And Forecasts Of Financial Time Series," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(01), pages 1-22.
  14. Marco Corazza & A. G. Malliaris, 2002. "Multi-Fractality in Foreign Currency Markets," Multinational Finance Journal, Multinational Finance Journal, vol. 6(2), pages 65-98, June.
  15. Malliaris, A. G. & Stein, Jerome L., 1999. "Methodological issues in asset pricing: Random walk or chaotic dynamics," Journal of Banking & Finance, Elsevier, vol. 23(11), pages 1605-1635, November.
  16. Kyrtsou, Catherine & Serletis, Apostolos, 2006. "Univariate tests for nonlinear structure," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 154-168, March.
  17. David H. Cutler & James M. Poterba & Lawrence H. Summers, 1988. "What Moves Stock Prices?," Working papers 487, Massachusetts Institute of Technology (MIT), Department of Economics.
  18. Philip Hans Franses & Dick van Dijk & Andre Lucas, 2004. "Short patches of outliers, ARCH and volatility modelling," Applied Financial Economics, Taylor & Francis Journals, vol. 14(4), pages 221-231.
  19. Shefrin, Hersh & Statman, Meir, 1994. "Behavioral Capital Asset Pricing Theory," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(03), pages 323-349, September.
  20. Kyrtsou, Catherine & Labys, Walter C., 2006. "Evidence for chaotic dependence between US inflation and commodity prices," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 256-266, March.
  21. Dan Bernhardt & Murillo Campbello & Edward Kutsoati, 2002. "Who Herds?," Discussion Papers Series, Department of Economics, Tufts University 0213, Department of Economics, Tufts University.
  22. Kyrtsou, Catherine & Terraza, Michel, 2002. "Stochastic chaos or ARCH effects in stock series?: A comparative study," International Review of Financial Analysis, Elsevier, vol. 11(4), pages 407-431.
  23. Catherine Kyrtsou & Walter C. Labys & Michel Terraza, 2004. "Noisy chaotic dynamics in commodity markets," Empirical Economics, Springer, vol. 29(3), pages 489-502, 09.
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