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Norman Ehrentreich

Personal Details

First Name:Norman
Middle Name:
Last Name:Ehrentreich
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RePEc Short-ID:peh3
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http://www.wiwi.uni-halle.de/wiwi/lui/bwl/bank/top.htm
Martin Luther University of Halle-Wittenberg Dept. of Banking and Finance Universitätsplatz 8-9 D-06099 Halle/Saale (Germany)
+49-345-552 3453

Affiliation

Wirtschaftswissenschaftliche Fakultät
Martin-Luther-Universität Halle

Halle-Wittenberg, Germany
http://www.wiwi.uni-halle.de/

:


RePEc:edi:wwhalde (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Books

Working papers

  1. Norman Ehrentreich, 2005. "The Temptation of Emergence or: Don't Rush into Economic(al) Explanations," Computing in Economics and Finance 2005 373, Society for Computational Economics.
  2. Norman Ehrentreich, 2002. "The Santa Fe Artificial Stock Market Re-Examined - Suggested Corrections," Computational Economics 0209001, EconWPA.

Articles

  1. Ehrentreich, Norman, 2006. "Technical trading in the Santa Fe Institute Artificial Stock Market revisited," Journal of Economic Behavior & Organization, Elsevier, vol. 61(4), pages 599-616, December.

Books

  1. Norman Ehrentreich, 2008. "Agent-Based Modeling," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-73879-4, April.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Norman Ehrentreich, 2002. "The Santa Fe Artificial Stock Market Re-Examined - Suggested Corrections," Computational Economics 0209001, EconWPA.

    Cited by:

    1. Germán Creamer, 2012. "Model calibration and automated trading agent for Euro futures," Quantitative Finance, Taylor & Francis Journals, vol. 12(4), pages 531-545, December.
    2. Haijun Yang & Harry Wang & Gui Sun & Li Wang, 2015. "A comparison of U.S and Chinese financial market microstructure: heterogeneous agent-based multi-asset artificial stock markets approach," Journal of Evolutionary Economics, Springer, vol. 25(5), pages 901-924, November.
    3. José Manuel Galán & Luis R. Izquierdo & Segismundo S. Izquierdo & José Ignacio Santos & Ricardo del Olmo & Adolfo López-Paredes & Bruce Edmonds, 2009. "Errors and Artefacts in Agent-Based Modelling," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 12(1), pages 1-1.
    4. 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.

Articles

  1. Ehrentreich, Norman, 2006. "Technical trading in the Santa Fe Institute Artificial Stock Market revisited," Journal of Economic Behavior & Organization, Elsevier, vol. 61(4), pages 599-616, December.

    Cited by:

    1. Wei-Xing Zhou & Guo-Hua Mu & Si-Wei Chen & Didier Sornette, "undated". "Strategies used as Spectroscopy of Financial Markets Reveal New Stylized Facts," Working Papers ETH-RC-11-005, ETH Zurich, Chair of Systems Design.
    2. Gerasymchuk, S. & Pavlov, O.V., 2010. "Asset Price Dynamics with Local Interactions under Heterogeneous Beliefs," CeNDEF Working Papers 10-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
    3. Maciel, Leandro & Gomide, Fernando & Ballini, Rosangela, 2016. "A differential evolution algorithm for yield curve estimation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 129(C), pages 10-30.
    4. Vagnani, Gianluca, 2009. "The Black-Scholes model as a determinant of the implied volatility smile: A simulation study," Journal of Economic Behavior & Organization, Elsevier, vol. 72(1), pages 103-118, October.
    5. Valentyn Panchenko & Sergiy Gerasymchuk & Oleg V. Pavlov, 2013. "Asset Price Dynamics with Heterogeneous Beliefs and Local Network Interactions," Discussion Papers 2013-18, School of Economics, The University of New South Wales.
    6. Narayan, Paresh Kumar & Sharma, Susan Sunila, 2014. "Firm return volatility and economic gains: The role of oil prices," Economic Modelling, Elsevier, vol. 38(C), pages 142-151.
    7. Gianluca Vagnani, 2009. "The Black-Scholes model as a determinant of the implied volatility smile: A simulation study," Post-Print hal-00736952, HAL.
    8. José Manuel Galán & Luis R. Izquierdo & Segismundo S. Izquierdo & José Ignacio Santos & Ricardo del Olmo & Adolfo López-Paredes & Bruce Edmonds, 2009. "Errors and Artefacts in Agent-Based Modelling," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 12(1), pages 1-1.

Books

  1. Norman Ehrentreich, 2008. "Agent-Based Modeling," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-73879-4, April.

    Cited by:

    1. D. Sornette, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models," Papers 1404.0243, arXiv.org.
    2. Daniel C. Wagner & Thilo A. Schmitt & Rudi Schafer & Thomas Guhr & Dietrich E. Wolf, 2014. "Analysis of a decision model in the context of equilibrium pricing and order book pricing," Papers 1404.7356, arXiv.org.
    3. Fontana Magda, 2009. "The Santa Fe Perspective on Economics: emerging patterns in the science of complexity," CESMEP Working Papers 200908, University of Turin.
    4. Gonzalo Castañeda, 2010. "Crisis económicas y cambios de paradigma," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 25(2), pages 425-441.
    5. Verónica Amarante & Ivone Perazzo, 2011. "Cantidad de niños en los hogares uruguayos: un análisis de los determinantes económicos, 1996-2006," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 26(1), pages 3-34.
    6. Flaminio Squazzoni, 2010. "The impact of agent-based models in the social sciences after 15 years of incursions," History of Economic Ideas, Fabrizio Serra Editore, Pisa - Roma, vol. 18(2), pages 197-234.
    7. Jonathan Köhler & Fjalar de Haan & Georg Holtz & Klaus Kubeczko & Enayat Moallemi & George Papachristos & Émile J.L. Chappin, 2018. "Modelling Sustainability Transitions: An Assessment of Approaches and Challenges," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 21(1), pages 1-8.
    8. Philip Z. Maymin, 2012. "A New Kind of Finance," Papers 1210.1588, arXiv.org.
    9. Dimitris Kremmydas, 2012. "Agent based modeling for agricultural policy evaluation: A review," Working Papers 2012-3, Agricultural University of Athens, Department Of Agricultural Economics.
    10. Torsten Trimborn & Philipp Otte & Simon Cramer & Max Beikirch & Emma Pabich & Martin Frank, 2018. "SABCEMM-A Simulation Framework for Agent-Based Computational Economic Market Models," Papers 1801.01811, arXiv.org.
    11. Lijian Wei & Wei Zhang & Xiong Xiong & Lei Shi, 2014. "Position-Limit Design for the CSI 300 Futures Markets," Research Paper Series 349, Quantitative Finance Research Centre, University of Technology, Sydney.

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