Time Series Properties of an Artificial Stock Market
Author
Abstract
Suggested Citation
Download full text from publisher
To our knowledge, this item is not available for download. To find whether it is available, there are three options:1. Check below whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Other versions of this item:
- 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.
References listed on IDEAS
- 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.
- Brock, W.A. & Hommes, C.H., 1996. "Hetergeneous Beliefs and Routes to Chaos in a Simple Asset Pricing Model," Working papers 9621, Wisconsin Madison - Social Systems.
- Woodford, Michael, 1990.
"Learning to Believe in Sunspots,"
Econometrica, Econometric Society, vol. 58(2), pages 277-307, March.
- Woodford, Michael, 1986. "Learning to Believe in Sunspots," Working Papers 86-16, C.V. Starr Center for Applied Economics, New York University.
- Lux, Thomas, 1998. "The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions," Journal of Economic Behavior & Organization, Elsevier, vol. 33(2), pages 143-165, January.
- Sweeney, Richard J, 1986. "Beating the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 41(1), pages 163-182, March.
- Day, Richard H. & Huang, Weihong, 1990.
"Bulls, bears and market sheep,"
Journal of Economic Behavior & Organization, Elsevier, vol. 14(3), pages 299-329, December.
- Day, R. & Huang, W., 1988. "Bulls, Bears And Market Sheep," Papers m8822, Southern California - Department of Economics.
- Brock, William A & LeBaron, Blake D, 1996.
"A Dynamic Structural Model for Stock Return Volatility and Trading Volume,"
The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 94-110, February.
- William A. Brock & Blake D. LeBaron, 1995. "A Dynamic Structural Model for Stock Return Volatility and Trading Volume," NBER Working Papers 4988, National Bureau of Economic Research, Inc.
- Levich, Richard M. & Thomas, Lee III, 1993. "The significance of technical trading-rule profits in the foreign exchange market: a bootstrap approach," Journal of International Money and Finance, Elsevier, vol. 12(5), pages 451-474, October.
- Kurz, Mordecai, 1994.
"On Rational Belief Equilibria,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 4(6), pages 859-876, October.
- Kurz, M., 1991. "On rational Belief Equilibria," Papers 40, Stanford - Institute for Thoretical Economics.
- Gennotte, Gerard & Leland, Hayne, 1990.
"Market Liquidity, Hedging, and Crashes,"
American Economic Review, American Economic Association, vol. 80(5), pages 999-1021, December.
- Gerard Gennotte and Hayne Leland., 1989. "Market Liquidity, Hedging and Crashes," Research Program in Finance Working Papers RPF-192, University of California at Berkeley.
- Gerard Gennotte and Hayne Leland., 1989. "Market Liquidity, Hedging and Crashes," Research Program in Finance Working Papers RPF-184, University of California at Berkeley.
- Campbell, John Y & Shiller, Robert J, 1988.
" Stock Prices, Earnings, and Expected Dividends,"
Journal of Finance,
American Finance Association, vol. 43(3), pages 661-676, July.
- John Y. Campbell & Robert J. Shiller, 1988. "Stock Prices, Earnings and Expected Dividends," Cowles Foundation Discussion Papers 858, Cowles Foundation for Research in Economics, Yale University.
- John Y. Campbell & Robert J. Shiller, 1988. "Stock Prices, Earnings and Expected Dividends," NBER Working Papers 2511, National Bureau of Economic Research, Inc.
- Campbell, John & Shiller, Robert, 1988. "Stock Prices, Earnings, and Expected Dividends," Scholarly Articles 3224293, Harvard University Department of Economics.
- Campbell, J.Y. & Shiller, R.J., 1988. "Stock Prices, Earnings And Expected Dividends," Papers 334, Princeton, Department of Economics - Econometric Research Program.
- Taylor, Stephen J, 1992. "Rewards Available to Currency Futures Speculators: Compensation for Risk or Evidence of Inefficient Pricing?," The Economic Record, The Economic Society of Australia, vol. 0(0), pages 105-116, Supplemen.
- Evans, George W., 1989. "The fragility of sunspots and bubbles," Journal of Monetary Economics, Elsevier, vol. 23(2), pages 297-317, March.
- Lettau, Martin, 1997. "Explaining the facts with adaptive agents: The case of mutual fund flows," Journal of Economic Dynamics and Control, Elsevier, vol. 21(7), pages 1117-1147, June.
- Blake LeBaron, "undated".
"Technical Trading Rules and Regime Shifts in Foreign Exchange,"
Working papers
_007, University of Wisconsin - Madison.
- LeBaron, B., 1991. "Technical Trading Rules and Regime Shifts in Foreign Exchange," Working papers 9118, Wisconsin Madison - Social Systems.
- John Conlisk, 1996. "Why Bounded Rationality?," Journal of Economic Literature, American Economic Association, vol. 34(2), pages 669-700, June.
- Bray, Margaret, 1982. "Learning, estimation, and the stability of rational expectations," Journal of Economic Theory, Elsevier, vol. 26(2), pages 318-339, April.
- Admati, Anat R., 1991. "The informational role of prices : A review essay," Journal of Monetary Economics, Elsevier, vol. 28(2), pages 347-361, October.
- Cochrane, John H, 1989.
"The Sensitivity of Tests of the Intertemporal Allocation of Consumption to Near-Rational Alternatives,"
American Economic Review, American Economic Association, vol. 79(3), pages 319-337, June.
- John H. Cochrane, 1988. "The Sensitivity of Tests of the Intertemporal Allocation of Consumption to Near-Rational Alternatives," NBER Working Papers 2730, National Bureau of Economic Research, Inc.
- De Long, J Bradford & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1990.
"Noise Trader Risk in Financial Markets,"
Journal of Political Economy, University of Chicago Press, vol. 98(4), pages 703-738, August.
- J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, "undated". "Noise Trader Risk in Financial Markets," J. Bradford De Long's Working Papers _124, University of California at Berkeley, Economics Department.
- 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.
- Sanford Grossman, 1989. "The Informational Role of Prices," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262572141, December.
- John Y. Campbell & N. Gregory Mankiw, 1989.
"Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence,"
NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 185-246,
National Bureau of Economic Research, Inc.
- John Y. Campbell & N. Gregory Mankiw, 1989. "Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence," NBER Working Papers 2924, National Bureau of Economic Research, Inc.
- Arifovic, Jasmina, 1996. "The Behavior of the Exchange Rate in the Genetic Algorithm and Experimental Economies," Journal of Political Economy, University of Chicago Press, vol. 104(3), pages 510-541, June.
- Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
- Taylor, Mark P. & Allen, Helen, 1992. "The use of technical analysis in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 11(3), pages 304-314, June.
- repec:fth:harver:1435 is not listed on IDEAS
- Youssefmir, Michael & Huberman, Bernardo A., 1997. "Clustered volatility in multiagent dynamics," Journal of Economic Behavior & Organization, Elsevier, vol. 32(1), pages 101-118, January.
- Marimon, Ramon & McGrattan, Ellen & Sargent, Thomas J., 1990. "Money as a medium of exchange in an economy with artificially intelligent agents," Journal of Economic Dynamics and Control, Elsevier, vol. 14(2), pages 329-373, May.
- Narayana R. Kocherlakota, 1996.
"The Equity Premium: It's Still a Puzzle,"
Journal of Economic Literature, American Economic Association, vol. 34(1), pages 42-71, March.
- Kocherlakota, N., 1995. "The Equity Premium: It's Still a Puzzle," Working Papers 95-05, University of Iowa, Department of Economics.
- Narayana R. Kocherlakota, 1995. "The equity premium: it's still a puzzle," Discussion Paper / Institute for Empirical Macroeconomics 102, Federal Reserve Bank of Minneapolis.
- Carl Chiarella, 1992. "The Dynamics of Speculative Behaviour," Working Paper Series 13, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Sweeney, Richard J., 1988. "Some New Filter Rule Tests: Methods and Results," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(3), pages 285-300, September.
- Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992.
"Simple Technical Trading Rules and the Stochastic Properties of Stock Returns,"
Journal of Finance, American Finance Association, vol. 47(5), pages 1731-1764, December.
- Brock, W. & Lakonishok, J. & Lebaron, B., 1991. "Simple Technical Trading Rules And The Stochastic Properties Of Stock Returns," Working papers 90-22, Wisconsin Madison - Social Systems.
- Stephen J. Taylor, 1992. "Rewards Available to Currency Futures Speculators: Compensation for Risk or Evidence of Inefficient Pricing?," The Economic Record, The Economic Society of Australia, vol. 68(S1), pages 105-116, December.
- Fama, Eugene F, 1991. "Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- LeBaron, Blake, 2000. "Agent-based computational finance: Suggested readings and early research," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 679-702, June.
- Jing Yang, 1999. "Heterogeneous Beliefs, Intelligent Agents, and Allocative Efficiency in an Artificial Stock Market," Computing in Economics and Finance 1999 612, Society for Computational Economics.
- 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,
Elsevier.
- Cars H. Hommes, 2005. "Heterogeneous Agent Models in Economics and Finance," Tinbergen Institute Discussion Papers 05-056/1, Tinbergen Institute.
- Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, March.
- Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
- Hommes, C.H., 2005. "Heterogeneous Agent Models in Economics and Finance, In: Handbook of Computational Economics II: Agent-Based Computational Economics, edited by Leigh Tesfatsion and Ken Judd , Elsevier, Amsterdam 2006," CeNDEF Working Papers 05-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- LeBaron, Blake, 1999.
"Technical trading rule profitability and foreign exchange intervention,"
Journal of International Economics, Elsevier, vol. 49(1), pages 125-143, October.
- Blake LeBaron, "undated". "Technical Trading Rule Profitability and Foreign Exchange Intervention," Working papers _002, University of Wisconsin - Madison.
- Blake LeBaron, 1996. "Technical Trading Rule Profitability and Foreign Exchange Intervention," NBER Working Papers 5505, National Bureau of Economic Research, Inc.
- Blake LeBaron, 1994. "Technical Trading Rule Profitability and Foreign Exchange Intervention," International Finance 9411002, University Library of Munich, Germany.
- LeBaron, B., 1996. "Technical Trading Rule Profitability and Foreing Exchange Intervention," Working papers 9445r, Wisconsin Madison - Social Systems.
- Lukas Menkhoff & Mark P. Taylor, 2007.
"The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis,"
Journal of Economic Literature, American Economic Association, vol. 45(4), pages 936-972, December.
- 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.
- Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals : Technical Analysis," The Warwick Economics Research Paper Series (TWERPS) 769, University of Warwick, Department of Economics.
- Menkhoff, Lukas & Taylor, Mark P., 2006. "The Obstinate Passion of Foreign Exchange Professionals: Technical Analysis," Economic Research Papers 269739, University of Warwick - Department of Economics.
- Alessandro Beber, 1999. "Il dibattito su dignità ed efficacia dell'analisi tecnica nell'economia finanziaria," Alea Tech Reports 003, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
- Gencay, Ramazan, 1999. "Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules," Journal of International Economics, Elsevier, vol. 47(1), pages 91-107, February.
- Chiarella, Carl & He, Xue-Zhong & Zwinkels, Remco C.J., 2014.
"Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500,"
Journal of Economic Behavior & Organization, Elsevier, vol. 105(C), pages 1-16.
- Carl Chiarella & Xue-Zhong He & Remco C.J. Zwinkels, 2014. "Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500," Research Paper Series 344, Quantitative Finance Research Centre, University of Technology, Sydney.
- Xue-Zhong He, 2003. "Asset Pricing, Volatility and Market Behaviour: A Market Fraction Approach," Research Paper Series 95, Quantitative Finance Research Centre, University of Technology, Sydney.
- 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.
- J. Doyne Farmer, 2002.
"Market force, ecology and evolution,"
Industrial and Corporate Change, Oxford University Press, vol. 11(5), pages 895-953, November.
- J. Doyne Farmer, 1998. "Market Force, Ecology, and Evolution," Research in Economics 98-12-117e, Santa Fe Institute.
- J. Doyne Farmer, 1999. "Market Force, Ecology, and Evolution," Computing in Economics and Finance 1999 651, Society for Computational Economics.
- Youwei Li & Xue-Zhong (Tony) He, 2005.
"Heterogeneity, Profitability and Autocorrelations,"
Computing in Economics and Finance 2005
244, Society for Computational Economics.
- Xue-Zhong He & Youwei Li, 2005. "Heterogeneity, Profitability and Autocorrelations," Research Paper Series 147, Quantitative Finance Research Centre, University of Technology, Sydney.
- Bertrand Maillet & Thierry Michel, 2000.
"Further insights on the puzzle of technical analysis profitability,"
The European Journal of Finance, Taylor & Francis Journals, vol. 6(2), pages 196-224.
- Bertrand Maillet & Thierry Michel, 2000. "Further Insights on the Puzzle of Technical Analysis Profitability," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00308986, HAL.
- Bauer, Christian & De Grauwe, Paul & Reitz, Stefan, 2009.
"Exchange rate dynamics in a target zone--A heterogeneous expectations approach,"
Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 329-344, February.
- Christian Bauer & Paul De Grauwe & Stefan Reitz, 2007. "Exchange Rates Dynamics in a Target Zone – A Heterogeneous Expectations Approach," CESifo Working Paper Series 2080, CESifo.
- Bauer, Christian & De Grauwe, Paul & Reitz, Stefan, 2007. "Exchange rate dynamics in a target zone: a heterogeneous expectations approach," Discussion Paper Series 1: Economic Studies 2007,11, Deutsche Bundesbank.
- Xue-Zhong He & Youwei Li, 2017.
"The adaptiveness in stock markets: testing the stylized facts in the DAX 30,"
Journal of Evolutionary Economics, Springer, vol. 27(5), pages 1071-1094, November.
- Xue-Zhong He & Youwei Li, 2015. "The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30," Research Paper Series 364, Quantitative Finance Research Centre, University of Technology, Sydney.
- 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.
- Bekiros, Stelios D., 2015. "Heuristic learning in intraday trading under uncertainty," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 34-49.
More about this item
Keywords
FINANCIAL MARKET ; TIME SERIES;JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:att:wimass:9725. 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: . General contact details of provider: .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ailsenne Sumwalt (email available below). General contact details of provider: .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.