Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays
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- Sansone, Alessandro & Garofalo, Giuseppe, 2007. "Asset price dynamics in a financial market with heterogeneous trading strategies and time delays," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 247-257.
- Alessandro Sansone & Giuseppe Garofalo, 2005. "Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays," Finance 0510026, University Library of Munich, Germany.
- Giuseppe Garofalo & Alessandro Sansone, 2006. "Asset Price Dynamics in a Financial Market with Heterogeneous Trading Strategies and Time Delays," Papers physics/0607276, arXiv.org.
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"Bet against the trend and cash in profits: An agent-based model of endogenous fluctuations of exchange rates,"
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- Federico Bassi & Dany Lang & Raquel Almeida Ramos, 2023. "Bet against the trend and cash in profits: An agent‑based model of endogenous fluctuations of exchange rates," Post-Print hal-04428234, HAL.
- Kin‐Yip Ho & Lin Zheng & Zhaoyong Zhang, 2012.
"Volume, volatility and information linkages in the stock and option markets,"
Review of Financial Economics, John Wiley & Sons, vol. 21(4), pages 168-174, November.
- Ho, Kin-Yip & Zheng, Lin & Zhang, Zhaoyong, 2012. "Volume, volatility and information linkages in the stock and option markets," Review of Financial Economics, Elsevier, vol. 21(4), pages 168-174.
- Chakrabarty, Anindya & De, Anupam & Gunasekaran, Angappa & Dubey, Rameshwar, 2015. "Investment horizon heterogeneity and wavelet: Overview and further research directions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 429(C), pages 45-61.
- Raquel Almeida Ramos & Federico Bassi & Dany Lang, 2020.
"Bet against the trend and cash in profits,"
CEPN Working Papers
halshs-02956879, HAL.
- Raquel Almeida Ramos & Federico Bassi & Dany Lang, 2020. "Bet against the trend and cash in profits," DISCE - Working Papers del Dipartimento di Economia e Finanza def090, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
- Raquel Almeida Ramos & Federico Bassi & Dany Lang, 2020. "Bet against the trend and cash in profits," FMM Working Paper 60-2020, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
- Raquel Almeida Ramos & Federico Bassi & Dany Lang, 2020. "Bet against the trend and cash in profits," Working Papers halshs-02956879, HAL.
- Wan, Jer-Yuh & Kao, Chung-Wei, 2009. "Evidence on the contrarian trading in foreign exchange markets," Economic Modelling, Elsevier, vol. 26(6), pages 1420-1431, November.
- Tokár, T. & Horváth, D., 2012. "Market inefficiency identified by both single and multiple currency trends," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5620-5627.
- Kukacka, Jiri & Barunik, Jozef, 2013.
"Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(23), pages 5920-5938.
- Jiri Kukacka & Jozef Barunik, 2012. "Behavioural breaks in the heterogeneous agent model: the impact of herding, overconfidence, and market sentiment," Papers 1205.3763, arXiv.org, revised May 2013.
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More about this item
Keywords
Dynamic asset pricing; Heterogeneous agents; Complex dynamics; Strange attractors; Chaos; Intermittency; Stock market dynamics; Synchronization.;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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