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Citations for "The Predictive Power of Zero Intelligence in Financial Markets"

by J. Doyne Farmer & Paolo Patelli & Ilija I. Zovko

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  1. Willis, Geoff, 2011. "Pricing, liquidity and the control of dynamic systems in finance and economics," MPRA Paper 31137, University Library of Munich, Germany.
  2. Wang, Shilei, 2013. "Dynamical trading mechanisms in limit order markets," Algorithmic Finance, IOS Press, vol. 2(3-4), pages 213-231.
  3. 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.
  4. Geoff Willis, 2011. "Why Money Trickles Up - Wealth & Income Distributions," Papers 1105.2122,, revised May 2011.
  5. Szabolcs Mike & J. Doyne Farmer, 2005. "An empirical behavioral model of price formation," Papers physics/0509194,, revised Oct 2005.
  6. Martin D. Gould & Julius Bonart, 2015. "Queue Imbalance as a One-Tick-Ahead Price Predictor in a Limit Order Book," Papers 1512.03492,
  7. Richard Bookstaber & Michael D. Foley & Brian F. Tivnan, 2015. "Market Liquidity and Heterogeneity in the Investor Decision Cycle," Working Papers 15-03, Office of Financial Research, US Department of the Treasury.
  8. Mikhail V. Oet & Ryan Eiben & Timothy Bianco & Dieter Gramlich & Stephen J. Ong, 2011. "The financial stress index: identification of systemic risk conditions," Working Paper 1130, Federal Reserve Bank of Cleveland.
  9. 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.
  10. Wright, Ian, 2009. "Implicit Microfoundations for Macroeconomics," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 3, pages 1-27.
  11. Iori, G. & Porter, J., 2012. "Agent-Based Modelling for Financial Markets," Working Papers 12/08, Department of Economics, City University London.
  12. Feldman, Todd, 2010. "Portfolio manager behavior and global financial crises," Journal of Economic Behavior & Organization, Elsevier, vol. 75(2), pages 192-202, August.
  13. 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.
  14. Andre Cardoso Barato & Iacopo Mastromatteo & Marco Bardoscia & Matteo Marsili, 2011. "Impact of meta-order in the Minority Game," Papers 1112.3908,, revised Nov 2012.
  15. 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.
  16. Matthieu Wyart & Jean-Philippe Bouchaud & Julien Kockelkoren & Marc Potters & Michele Vettorazzo, 2006. "Relation between Bid-Ask Spread, Impact and Volatility in Double Auction Markets," Papers physics/0603084,, revised Mar 2007.
  17. Mark Paddrik & Roy Hayes & William Scherer & Peter Beling, 2014. "Effects of Limit Order Book Information Level on Market Stability Metrics," Working Papers 14-09, Office of Financial Research, US Department of the Treasury.
  18. 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;Society for Economic Science with Heterogeneous Interacting Agents, vol. 7(2), pages 223-248, October.
  19. Marco Bartolozzi, 2010. "A Multi Agent Model for the Limit Order Book Dynamics," Papers 1005.0182,, revised Oct 2010.
  20. 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.
  21. A. E. Biondo & A. Pluchino & A. Rapisarda & D. Helbing, 2013. "Are random trading strategies more successful than technical ones?," Papers 1303.4351,, revised Jul 2013.
  22. 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, Springer;Society for Computational Economics, vol. 29(1), pages 69-96, February.
  23. Emeterio Navarro & Ruben Cantero & Joao Rodrigues & Frank Schweitzer, 2007. "Investments in Random Environments," Papers 0709.3630,, revised Sep 2008.
  24. Ponta, Linda & Raberto, Marco & Teglio, Andrea & Cincotti, Silvano, 2016. "An agent-based stock-flow consistent model of the sustainable transition in the energy sector," MPRA Paper 73183, University Library of Munich, Germany.
  25. 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.
  26. Martin D. Gould & Mason A. Porter & Sam D. Howison, 2015. "Quasi-Centralized Limit Order Books," Papers 1502.00680,, revised Oct 2016.
  27. Martin D. Gould & Mason A. Porter & Stacy Williams & Mark McDonald & Daniel J. Fenn & Sam D. Howison, 2010. "Limit Order Books," Papers 1012.0349,, revised Apr 2013.
  28. Aleksejus Kononovicius & Vygintas Gontis, 2014. "Herding interactions as an opportunity to prevent extreme events in financial markets," Papers 1409.8024,, revised May 2015.
  29. Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent Based Model with Low- and High-Frequency Trading," LEM Papers Series 2016/15, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  30. Roberto Mota Navarro & Hern\'an Larralde Ridaura, 2016. "A detailed heterogeneous agent model for a single asset financial market with trading via an order book," Papers 1601.00229,, revised Jul 2016.
  31. Claude Montmarquette, 2008. "L'économétrie des données expérimentales : défis et opportunités," Economie & Prévision, La Documentation Française, vol. 0(1), pages 7-17.
  32. E. Bacry & J. F Muzy, 2013. "Hawkes model for price and trades high-frequency dynamics," Papers 1301.1135,
  33. 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.
  34. Erhan Bayraktar & Ulrich Horst & Ronnie Sircar, 2007. "Queueing Theoretic Approaches to Financial Price Fluctuations," Papers math/0703832,
  35. J. Emeterio Navarro Barrientos & Frank E. Walter & Frank Schweitzer, 2008. "Risk-Seeking versus Risk-Avoiding Investments in Noisy Periodic Environments," Papers 0801.4305,, revised Sep 2008.
  36. 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).
  37. Iacopo Mastromatteo & Bence Toth & Jean-Philippe Bouchaud, 2013. "Agent-based models for latent liquidity and concave price impact," Papers 1311.6262,, revised Dec 2014.
  38. 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.
  39. Frederik Meudt & Thilo A. Schmitt & Rudi Sch\"afer & Thomas Guhr, 2015. "Equilibrium Pricing in an Order Book Environment: Case Study for a Spin Model," Papers 1502.01125,
  40. Damian Eduardo Taranto & Giacomo Bormetti & Fabrizio Lillo, 2014. "The adaptive nature of liquidity taking in limit order books," Papers 1403.0842,, revised Apr 2014.
  41. Sylvain Delattre & Christian Y. Robert & Mathieu Rosenbaum, 2013. "Estimating the efficient price from the order flow: a Brownian Cox process approach," Papers 1301.3114,, revised Apr 2013.
  42. Neil McCulloch & Grazia Pacillo, 2010. "The Tobin Tax A Review of the Evidence," Working Paper Series 1611, Department of Economics, University of Sussex.
  43. J. Doyne Farmer & Fabrizio Lillo, 2003. "On the origin of power law tails in price fluctuations," Papers cond-mat/0309416,, revised Jan 2004.
  44. Jasmina Hasanhodzic & Andrew Lo & Emanuele Viola, 2011. "A computational view of market efficiency," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 1043-1050.
  45. 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.
  46. 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.
  47. 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.
  48. Jim Gatheral & Roel Oomen, 2010. "Zero-intelligence realized variance estimation," Finance and Stochastics, Springer, vol. 14(2), pages 249-283, April.
  49. Efstathios Panayi & Gareth Peters, 2015. "Stochastic simulation framework for the Limit Order Book using liquidity motivated agents," Papers 1501.02447,, revised Jan 2015.
  50. Blake LeBaron & Ryuichi Yamamoto, 2008. "The Impact of Imitation on Long Memory in an Order-Driven Market," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 34(4), pages 504-517.
  51. Sandrine Jacob Leal & Mauro Napoletano, 2016. "Market stability vs. Market resilience : Regulatory policies experiments in an agent based model with low-and high -frequency trading," Documents de Travail de l'OFCE 2016-12, Observatoire Francais des Conjonctures Economiques (OFCE).
  52. Frédéric Abergel & Aymen Jedidi, 2013. "A Mathematical Approach to Order Book Modelling," Post-Print hal-00621253, HAL.
  53. Ioanid Rosu, 2009. "A Dynamic Model of the Limit Order Book," Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4601-4641, November.
  54. 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,
  55. 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.
  56. Garud Iyengar & Anuj Kumar, 2006. "An equilibrium model for matching impatient demand and patient supply over time," Papers cs/0612065,, revised Mar 2007.
  57. Jean-Philippe Bouchaud & J. Doyne Farmer & Fabrizio Lillo, 2008. "How markets slowly digest changes in supply and demand," Papers 0809.0822,
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.