Citations for "The Predictive Power of Zero Intelligence in Financial Markets"
by J. Doyne Farmer & Paolo Patelli & Ilija I. Zovko
- J. Emeterio Navarro Barrientos & Frank E. Walter & Frank Schweitzer, 2008. "Risk-Seeking versus Risk-Avoiding Investments in Noisy Periodic Environments," Papers 0801.4305, arXiv.org, revised Sep 2008.
- 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.
- Willis, Geoff, 2011.
"Why money trickles up – wealth & income distributions,"
30851, University Library of Munich, Germany.
- Geoff Willis, 2011. "Why Money Trickles Up - Wealth & Income Distributions," Papers 1105.2122, arXiv.org, revised May 2011.
- Brian Tivnan & Matthew Koehler & Matthew McMahon & Matthew Olson & Neal Rothleder & Rajani Shenoy, 2011. "Adding to the Regulator's Toolbox: Integration and Extension of Two Leading Market Models," Papers 1105.5439, arXiv.org.
- Georges, Christophre & Wallace, John C., 2009. "Learning Dynamics And Nonlinear Misspecification In An Artificial Financial Market," Macroeconomic Dynamics, Cambridge University Press, vol. 13(05), pages 625-655, November.
- Olivier Brandouy & Angelo Corelli & Iryna Veryzhenko & Roger Waldeck, 2012. "A re-examination of the “zero is enough” hypothesis in the emergence of financial stylized facts," Journal of Economic Interaction and Coordination, Springer, vol. 7(2), pages 223-248, October.
- Andre Cardoso Barato & Iacopo Mastromatteo & Marco Bardoscia & Matteo Marsili, 2011. "Impact of meta-order in the Minority Game," Papers 1112.3908, arXiv.org, revised Nov 2012.
- James Sprigg & Mark Ehlen, 2007. "Comparative dynamics in an overlapping-generations model: the effects of quasi-rational discrete choice on finding and maintaining Nash equilibrium," Computational Economics, Society for Computational Economics, vol. 29(1), pages 69-96, February.
- Claude Montmarquette, 2008. "L'économétrie des données expérimentales : défis et opportunités," Économie et Prévision, Programme National Persée, vol. 182(1), pages 7-17.
- Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2010. "Limit Order Books," Papers 1012.0349, arXiv.org, revised Apr 2013.
- Erhan Bayraktar & Ulrich Horst & Ronnie Sircar, 2007. "Queueing Theoretic Approaches to Financial Price Fluctuations," Papers math/0703832, arXiv.org.
- A. E. Biondo & A. Pluchino & A. Rapisarda & D. Helbing, 2013. "Are random trading strategies more successful than technical ones?," Papers 1303.4351, arXiv.org, revised Jul 2013.
- Iacopo Mastromatteo & Bence Toth & Jean-Philippe Bouchaud, 2013. "Agent-based models for latent liquidity and concave price impact," Papers 1311.6262, arXiv.org, revised Dec 2014.
- Matthieu Wyart & Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters & Michele Vettorazzo, 2006.
"Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets,"
physics/0603084, arXiv.org, revised Mar 2007.
- Matthieu Wyart & Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters & Michele Vettorazzo, 2006. "Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets," Science & Finance (CFM) working paper archive 500067, Science & Finance, Capital Fund Management.
- Wei Cui & Anthony Brabazon & Michael O'Neill, 2011. "Dynamic trade execution: a grammatical evolution approach," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 2(1/2), pages 4-31.
- Zoltan Eisler & Janos Kertesz & Fabrizio Lillo & Rosario N. Mantegna, 2007.
"Diffusive behavior and the modeling of characteristic times in limit order executions,"
physics/0701335, arXiv.org, revised Dec 2008.
- Zoltan Eisler & Janos Kertesz & Fabrizio Lillo & Rosario Mantegna, 2009. "Diffusive behavior and the modeling of characteristic times in limit order executions," Quantitative Finance, Taylor & Francis Journals, vol. 9(5), pages 547-563.
- Garud Iyengar & Anuj Kumar, 2006. "An equilibrium model for matching impatient demand and patient supply over time," Papers cs/0612065, arXiv.org, revised Mar 2007.
- Caetano, Marco Antonio Leonel & Yoneyama, Takashi, 2011. "A model for the evaluation of systemic risk in stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(12), pages 2368-2374.
- J. Doyne Farmer & John Geanakoplos, 2008.
"The Virtues and Vices of Equilibrium and the Future of Financial Economics,"
Cowles Foundation Discussion Papers
1647, Cowles Foundation for Research in Economics, Yale University.
- J. Doyne Farmer & John Geanakoplos, 2008. "The virtues and vices of equilibrium and the future of financial economics," Papers 0803.2996, arXiv.org.
- J. Doyne Farmer & John Geanakoplos, 2008. "The Virtues and Vices of Equilibrium and the Future of Financial Economics," Levine's Working Paper Archive 122247000000002067, David K. Levine.
- Iori, G. & Porter, J., 2012. "Agent-Based Modelling for Financial Markets," Working Papers 12/08, Department of Economics, City University London.
- Damian Eduardo Taranto & Giacomo Bormetti & Fabrizio Lillo, 2014. "The adaptive nature of liquidity taking in limit order books," Papers 1403.0842, arXiv.org, revised Apr 2014.
- Efstathios Panayi & Gareth Peters, 2015. "Stochastic simulation framework for the Limit Order Book using liquidity motivated agents," Papers 1501.02447, arXiv.org, revised Jan 2015.
- Aleksejus Kononovicius & Vygintas Gontis, 2014. "Herding interactions as an opportunity to prevent extreme events in financial markets," Papers 1409.8024, arXiv.org, revised Feb 2015.
- Jasmina Hasanhodzic & Andrew Lo & Emanuele Viola, 2011.
"A computational view of market efficiency,"
Taylor & Francis Journals, vol. 11(7), pages 1043-1050.
- Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2013. "Limit order books," Quantitative Finance, Taylor & Francis Journals, vol. 13(11), pages 1709-1742, November.
- Eric Smith & J. Doyne Farmer & Laszlo Gillemot & Supriya Krishnamurthy, 2002.
"Statistical theory of the continuous double auction,"
- Eric Smith & J Doyne Farmer & Laszlo Gillemot & Supriya Krishnamurthy, 2003. "Statistical theory of the continuous double auction," Quantitative Finance, Taylor & Francis Journals, vol. 3(6), pages 481-514.
- Jean-Philippe Bouchaud & J. Doyne Farmer & Fabrizio Lillo, 2008. "How markets slowly digest changes in supply and demand," Papers 0809.0822, arXiv.org.
- Navarro-Barrientos, Jesús Emeterio & Cantero-Álvarez, Rubén & Matias Rodrigues, João F. & Schweitzer, Frank, 2008.
"Investments in random environments,"
Physica A: Statistical Mechanics and its Applications,
Elsevier, vol. 387(8), pages 2035-2046.
- Jim Gatheral & Roel Oomen, 2010. "Zero-intelligence realized variance estimation," Finance and Stochastics, Springer, vol. 14(2), pages 249-283, April.
- Willis, Geoff, 2011.
"Pricing, liquidity and the control of dynamic systems in finance and economics,"
31137, University Library of Munich, Germany.
- Geoff Willis, 2011. "Pricing, liquidity and the control of dynamic systems in finance and economics," Papers 1105.5503, arXiv.org.
- Dieter Gramlich & Mikhail V. Oet & Stephen J. Ong, 2013. "Policy in adaptive financial markets—the use of systemic risk early warning tools," Working Paper 1309, Federal Reserve Bank of Cleveland.
- Wang, Shilei, 2013.
"Dynamical trading mechanisms in limit order markets,"
IOS Press, vol. 2(3-4), pages 213-231.
- Shilei Wang, 2013. "Dynamical Trading Mechanism in Limit Order Markets," Papers 1303.3133, arXiv.org.
- J. Doyne Farmer & Fabrizio Lillo, 2003. "On the origin of power law tails in price fluctuations," Papers cond-mat/0309416, arXiv.org, revised Jan 2004.
- Marco Bartolozzi, 2010. "A Multi Agent Model for the Limit Order Book Dynamics," Papers 1005.0182, arXiv.org, revised Oct 2010.
- Sylvain Delattre & Christian Y. Robert & Mathieu Rosenbaum, 2013. "Estimating the efficient price from the order flow: a Brownian Cox process approach," Papers 1301.3114, arXiv.org, revised Apr 2013.
- Delattre, Sylvain & Robert, Christian Y. & Rosenbaum, Mathieu, 2013. "Estimating the efficient price from the order flow: A Brownian Cox process approach," Stochastic Processes and their Applications, Elsevier, vol. 123(7), pages 2603-2619.
- E. Bacry & J. F Muzy, 2013. "Hawkes model for price and trades high-frequency dynamics," Papers 1301.1135, arXiv.org.
- Alexandru Mandes, 2014. "Order Placement in a Continuous Double Auction Agent Based Model," MAGKS Papers on Economics 201443, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Lijian Wei & Wei Zhang & Xue-Zhong He & Yongjie Zhang, 2013. "Learning and Information Dissemination in Limit Order Markets," Research Paper Series 333, Quantitative Finance Research Centre, University of Technology, Sydney.
- 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.
- 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.
- Wright, Ian, 2009.
"Implicit Microfoundations for Macroeconomics,"
Economics - The Open-Access, Open-Assessment E-Journal,
Kiel Institute for the World Economy, vol. 3, pages 1-27.
- Frédéric Abergel & Aymen Jedidi, 2013. "A Mathematical Approach to Order Book Modelling," Post-Print hal-00621253, HAL.
- Szabolcs Mike & J. Doyne Farmer, 2005. "An empirical behavioral model of price formation," Papers physics/0509194, arXiv.org, revised Oct 2005.