Modeling and Simulation of an Artificial Stock Option Market
No abstract is available for this item.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 32 (2008)
Issue (Month): 1 (September)
|Contact details of provider:|| Web page: http://www.springerlink.com/link.asp?id=100248|
More information through EDIRC
References listed on IDEAS
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.:
- Raberto, Marco & Cincotti, Silvano & Focardi, Sergio M. & Marchesi, Michele, 2001.
"Agent-based simulation of a financial market,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 299(1), pages 319-327.
- Frank Niehaus, 2001.
"The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model,"
CeNDEF Workshop Papers, January 2001
2A.2, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Niehaus, Frank, 2001. "The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model," Hannover Economic Papers (HEP) dp-234, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Frank Niehaus, 2001. "The Influence of Heterogeneous Preferences on Asset Prices in an Incomplete Market Model," Computing in Economics and Finance 2001 60, Society for Computational Economics.
- Mannaro, Katiuscia & Marchesi, Michele & Setzu, Alessio, 2008. "Using an artificial financial market for assessing the impact of Tobin-like transaction taxes," Journal of Economic Behavior & Organization, Elsevier, vol. 67(2), pages 445-462, August.
- Marco Raberto & Silvano Cincotti & Sergio Focardi & Michele Marchesi, 2003.
"Traders' Long-Run Wealth in an Artificial Financial Market,"
Society for Computational Economics, vol. 22(2), pages 255-272, October.
- Marco Raberto & Silvano Cincott & Sergio M. Focardi & Michele Marchesi, 2002. "Traders’ long-run wealth in an artificial financial market," Computing in Economics and Finance 2002 301, Society for Computational Economics.
- Ross, Stephen A, 1976. "Options and Efficiency," The Quarterly Journal of Economics, MIT Press, vol. 90(1), pages 75-89, February.
- Fedenia, Mark & Grammatikos, Theoharry, 1992. "Options Trading and the Bid-Ask Spread of the Underlying Stocks," The Journal of Business, University of Chicago Press, vol. 65(3), pages 335-51, July.
- Robert Tompkins, 2001. "Implied volatility surfaces: uncovering regularities for options on financial futures," The European Journal of Finance, Taylor & Francis Journals, vol. 7(3), pages 198-230.
- Hakansson, Nils H, 1982. " Changes in the Financial Market: Welfare and Price Effects and the Basic Theorems of Value Conservation," Journal of Finance, American Finance Association, vol. 37(4), pages 977-1004, September.
- St Pierre, Eileen F, 1998. "The Impact of Option Introduction on the Conditional Return Distribution of Underlying Securities," The Financial Review, Eastern Finance Association, vol. 33(1), pages 105-18, February.
- Conrad, Jennifer, 1989. " The Price Effect of Option Introduction," Journal of Finance, American Finance Association, vol. 44(2), pages 487-98, June.
- Bollen, Nicolas P. B., 1998. "A note on the impact of options on stock return volatility1," Journal of Banking & Finance, Elsevier, vol. 22(9), pages 1181-1191, September.
- Kabir, M.R., 1997. "New Evidence on Price and Volatility Effects of Stock Option Introductions," Discussion Paper 1997-37, Tilburg University, Center for Economic Research.
- Heer, Burkhard & Trede, Mark & Wahrenburg, Mark, 1997. "The Effect of Option Trading at the DTB on the Underlying Stocks' Return Variance," Empirical Economics, Springer, vol. 22(2), pages 233-45.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
- repec:dgr:kubcen:199737 is not listed on IDEAS
- Raman Kumar & Atulya Sarin & Kuldeep Shastri, 1998. "The Impact of Options Trading on the Market Quality of the Underlying Security: An Empirical Analysis," Journal of Finance, American Finance Association, vol. 53(2), pages 717-732, 04.
When requesting a correction, please mention this item's handle: RePEc:kap:compec:v:32:y:2008:i:1:p:37-53. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn)or (Christopher F. Baum)
If references are entirely missing, you can add them using this form.