Incorporating positions into asset pricing models with order-based strategies
No abstract is available for this item.
Volume (Year): 3 (2008)
Issue (Month): 2 (December)
|Contact details of provider:|| Web page: http://www.springer.com|
|Order Information:||Web: http://www.springer.com/economics/economic+theory/journal/11403/PS2|
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.:
- He, Xue-Zhong & Li, Youwei, 2007. "Power-law behaviour, heterogeneity, and trend chasing," Journal of Economic Dynamics and Control, Elsevier, vol. 31(10), pages 3396-3426, October.
- Farmer, J. Doyne & Joshi, Shareen, 2002.
"The price dynamics of common trading strategies,"
Journal of Economic Behavior & Organization,
Elsevier, vol. 49(2), pages 149-171, October.
- Frank Westerhoff, 2003. "Market-maker, inventory control and foreign exchange dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 3(5), pages 363-369.
- Beja, Avraham & Goldman, M Barry, 1980. " On the Dynamic Behavior of Prices in Disequilibrium," Journal of Finance, American Finance Association, vol. 35(2), pages 235-48, May.
- Oliver Hansch & Narayan Y. Naik & S. Viswanathan, 1998. "Do Inventories Matter in Dealership Markets? Evidence from the London Stock Exchange," Journal of Finance, American Finance Association, vol. 53(5), pages 1623-1656, October.
- Rui Carvalho, 2001. "The Dynamics of the Linear Random Farmer Model," Papers cond-mat/0107150, arXiv.org.
- Hommes, Cars H., 2006.
"Heterogeneous Agent Models in Economics and Finance,"
Handbook of Computational Economics,
in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 23, pages 1109-1186
- Cars H. Hommes, 2005. "Heterogeneous Agent Models in Economics and Finance," Tinbergen Institute Discussion Papers 05-056/1, Tinbergen Institute.
- Bradfield, James, 1979. "A Formal Dynamic Model of Market Making," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(02), pages 275-291, June.
- LeBaron, Blake, 2006. "Agent-based Computational Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 24, pages 1187-1233 Elsevier.
When requesting a correction, please mention this item's handle: RePEc:spr:jeicoo:v:3:y:2008:i:2:p:201-227. 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: (Sonal Shukla)or (Rebekah McClure)
If references are entirely missing, you can add them using this form.