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Volatility clustering and herding agents: does it matter what they observe?

  • Ryuichi Yamamoto

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File URL: http://hdl.handle.net/10.1007/s11403-010-0075-5
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Article provided by Springer in its journal Journal of Economic Interaction and Coordination.

Volume (Year): 6 (2011)
Issue (Month): 1 (May)
Pages: 41-59

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Handle: RePEc:spr:jeicoo:v:6:y:2011:i:1:p:41-59
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  1. Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2002. "Evolutionary dynamics in markets with many trader types," CeNDEF Working Papers 02-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  2. Simon, Herbert A., 1978. "Rational Decision-Making in Business Organizations," Nobel Prize in Economics documents 1978-1, Nobel Prize Committee.
  3. Sanford J Grossman & Joseph E Stiglitz, 1997. "On the Impossibility of Informationally Efficient Markets," Levine's Working Paper Archive 1908, David K. Levine.
  4. De Long, J Bradford, et al, 1990. " Positive Feedback Investment Strategies and Destabilizing Rational Speculation," Journal of Finance, American Finance Association, vol. 45(2), pages 379-95, June.
  5. Offerman, Theo & Sonnemans, Joep, 1998. "Learning by experience and learning by imitating successful others," Journal of Economic Behavior & Organization, Elsevier, vol. 34(4), pages 559-575, March.
  6. Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Hannover Economic Papers (HEP) dp-352, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  7. Brenner, Thomas, 2006. "Agent Learning Representation: Advice on Modelling Economic Learning," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 18, pages 895-947 Elsevier.
  8. Jose Apesteguia & Steffen Huck & Jörg Oechssler, 2005. "Imitation - Theory and Experimental Evidence -," Working Papers 0419, University of Heidelberg, Department of Economics, revised Apr 2005.
  9. De Long, J. Bradford & Shleifer, Andrei & Summers, Lawrence H. & Waldmann, Robert J., 1990. "Noise Trader Risk in Financial Markets," Scholarly Articles 3725552, Harvard University Department of Economics.
  10. R. Yamamoto & B. LeBaron, 2010. "Order-splitting and long-memory in an order-driven market," The European Physical Journal B - Condensed Matter and Complex Systems, Springer, vol. 73(1), pages 51-57, January.
  11. Taisei Kaizoji & Stefan Bornholdt & Yoshi Fujiwara, 2002. "Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents," Papers cond-mat/0207253, arXiv.org.
  12. Gaunersdorfer, A. & Hommes, C.H., 2005. "A nonlinear structural model for volatility clustering," CeNDEF Working Papers 05-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  13. Pingle, Mark & Day, Richard H., 1996. "Modes of economizing behavior: Experimental evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 29(2), pages 191-209, March.
  14. Blake LeBaron & Ryuichi Yamamoto, 2008. "The Impact of Imitation on Long Memory in an Order-Driven Market," Eastern Economic Journal, Palgrave Macmillan, vol. 34(4), pages 504-517.
  15. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.
  16. Lux, T. & M. Marchesi, . "Scaling and Criticality in a Stochastic Multi-Agent Model of a Financial Market," Discussion Paper Serie B 438, University of Bonn, Germany, revised Jul 1998.
  17. repec:att:wimass:9725 is not listed on IDEAS
  18. Routledge, Bryan R, 1999. "Adaptive Learning in Financial Markets," Review of Financial Studies, Society for Financial Studies, vol. 12(5), pages 1165-1202.
  19. Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1235-1274, August.
  20. LeBaron, Blake & Arthur, W. Brian & Palmer, Richard, 1999. "Time series properties of an artificial stock market," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1487-1516, September.
  21. Tesfatsion, Leigh & Judd, Kenneth L., 2006. "Handbook of Computational Economics, Vol. 2: Agent-Based Computational Economics," Staff General Research Papers 10368, Iowa State University, Department of Economics.
  22. 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.
  23. LeBaron, Blake & Yamamoto, Ryuichi, 2007. "Long-memory in an order-driven market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 383(1), pages 85-89.
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