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Citations for " On the Dynamic Behavior of Prices in Disequilibrium"

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  1. Sandrine Jacob Leal, 2015. "Fundamentalists, chartists and asset pricing anomalies," Quantitative Finance, Taylor & Francis Journals, vol. 15(11), pages 1837-1850, November.
  2. J. Doyne Farmer & Shareen Joshi, 2000. "The price dynamics of common trading strategies," Papers cond-mat/0012419, arXiv.org.
  3. 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.
  4. Soon Ryoo, 2016. "Household debt and housing bubbles: a Minskian approach to boom-bust cycles," Journal of Evolutionary Economics, Springer, vol. 26(5), pages 971-1006, December.
  5. Tsung-Hsun Lu & Yung-Ming Shiu, 2012. "Tests for Two-Day Candlestick Patterns in the Emerging Equity Market of Taiwan," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(0), pages 41-57, January.
  6. Sonnemans, J. & Tuinstra, J., 2010. "Positive expectations feedback experiments and number guessing games as models of financial markets," CeNDEF Working Papers 10-08, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  7. Georges Harras & Didier Sornette, 2008. "How to grow a bubble: A model of myopic adapting agents," Papers 0806.2989, arXiv.org, revised Nov 2010.
  8. Gaunersdorfer, Andrea, 2000. "Endogenous fluctuations in a simple asset pricing model with heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 799-831, June.
  9. Lux, Thomas & Marchesi, Michele, 2002. "Journal of economic behavior and organization: special issue on heterogeneous interacting agents in financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 49(2), pages 143-147, October.
  10. Heemeijer, Peter & Hommes, Cars & Sonnemans, Joep & Tuinstra, Jan, 2009. "Price stability and volatility in markets with positive and negative expectations feedback: An experimental investigation," Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1052-1072, May.
  11. Franke, Reiner, 2008. "Artificial Long Memory Effects in Two Agend-Based Asset Pricing Models," Economics Working Papers 2008,15, Christian-Albrechts-University of Kiel, Department of Economics.
  12. 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.
  13. Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2010. "Excess Volatility and Herding in an Artificial Financial Market: Analytical Approach and Estimation," MPRA Paper 24719, University Library of Munich, Germany.
  14. David Goldbaum, 2013. "Learning and Adaptation as a Source of Market Failure," Working Paper Series 14, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
  15. Chiarella, Carl & He, Xue-Zhong & Hommes, Cars, 2006. "A dynamic analysis of moving average rules," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1729-1753.
  16. Friedrich Wagner & Thomas Lux & Simone Alfarano, 2005. "Time-Variation of Higher Moments in a Financial Market with Heterogeneous Agents: An Analytical Approach," Working Papers wp05-02, Warwick Business School, Finance Group.
  17. Dieci, Roberto & Westerhoff, Frank, 2010. "Heterogeneous speculators, endogenous fluctuations and interacting markets: A model of stock prices and exchange rates," Journal of Economic Dynamics and Control, Elsevier, vol. 34(4), pages 743-764, April.
  18. Di Guilmi, Corrado & He, Xue-Zhong & Li, Kai, 2014. "Herding, trend chasing and market volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 48(C), pages 349-373.
  19. Semmler, Willi & Bernard, Lucas, 2012. "Boom–bust cycles: Leveraging, complex securities, and asset prices," Journal of Economic Behavior & Organization, Elsevier, vol. 81(2), pages 442-465.
  20. Potters, Marc & Bouchaud, Jean-Philippe, 2003. "More statistical properties of order books and price impact," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 133-140.
  21. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2005. "Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework," Research Paper Series 166, Quantitative Finance Research Centre, University of Technology, Sydney.
  22. He, Xue-Zhong & Zheng, Min, 2010. "Dynamics of moving average rules in a continuous-time financial market model," Journal of Economic Behavior & Organization, Elsevier, vol. 76(3), pages 615-634, December.
  23. Bianconi, Ginestra & Galla, Tobias & Marsili, Matteo & Pin, Paolo, 2009. "Effects of Tobin taxes in minority game markets," Journal of Economic Behavior & Organization, Elsevier, vol. 70(1-2), pages 231-240, May.
  24. Tsung-Hsun Lu & Yung-Ming Shiu, 2012. "Tests for Two-Day Candlestick Patterns in the Emerging Equity Market of Taiwan," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 48(0), pages 41-57, January.
  25. Chiarella, Carl & He, Xue-Zhong & Wang, Duo & Zheng, Min, 2008. "The stochastic bifurcation behaviour of speculative financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(15), pages 3837-3846.
  26. Kai Li, 2014. "Asset Price Dynamics with Heterogeneous Beliefs and Time Delays," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 13, April.
  27. Te Bao & Cars Hommes & Tomasz Makarewicz, 2015. "Bubble Formation and (In)Efficient Markets in Learning-to-Forecast and -optimise Experiments," Tinbergen Institute Discussion Papers 15-107/II, Tinbergen Institute.
  28. Rui Carvalho, 2001. "The Dynamics of the Linear Random Farmer Model," Papers cond-mat/0107150, arXiv.org.
  29. Morone, Andrea & Nuzzo, Simone, 2016. "Asset Markets in the Lab: a literature review," MPRA Paper 70461, University Library of Munich, Germany.
  30. Alfarano, Simone & Lux, Thomas, 2005. "A noise trader model as a generator of apparent financial power laws and long memory," Economics Working Papers 2005,13, Christian-Albrechts-University of Kiel, Department of Economics.
  31. 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.
  32. He, Xue-Zhong & Li, Kai, 2015. "Profitability of time series momentum," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 140-157.
  33. James P. Gander, 2009. "Extreme Value Theory and the Financial Crisis of 2008," Working Paper Series, Department of Economics, University of Utah 2009_03, University of Utah, Department of Economics.
  34. Zhu, Mei & Chiarella, Carl & He, Xue-Zhong & Wang, Duo, 2009. "Does the market maker stabilize the market?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(15), pages 3164-3180.
  35. Sandrine Jacob Leal, 2013. "Momentum effect in individual stocks and heterogeneous beliefs among fundamentalists," Economics Bulletin, AccessEcon, vol. 33(4), pages 3102-3116.
  36. Franke, Reiner, 2009. "A prototype model of speculative dynamics with position-based trading," Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1134-1158, May.
  37. Sandrine Jacob Leal, 2012. "Momentum effect in individual stocks and heterogeneous beliefs among fundamentalists," Cahiers du CEREFIGE 1203, CEREFIGE (Centre Europeen de Recherche en Economie Financiere et Gestion des Entreprises), Universite de Lorraine, revised 2012.
  38. Stephanie-Carolin Grosche, 2014. "What Does Granger Causality Prove? A Critical Examination of the Interpretation of Granger Causality Results on Price Effects of Index Trading in Agricultural Commodity Markets," Journal of Agricultural Economics, Wiley Blackwell, vol. 65(2), pages 279-302, 06.
  39. Alfarano, Simone & Lux, Thomas, 2006. "A minimal noise trader model with realistic time series properties," Economics Working Papers 2006,11, Christian-Albrechts-University of Kiel, Department of Economics.
  40. Barucci, Emilio & Landi, Leonardo, 1996. "Speculative dynamics with bounded rationality learning," European Journal of Operational Research, Elsevier, vol. 91(2), pages 284-300, June.
  41. Tramontana, Fabio & Westerhoff, Frank & Gardini, Laura, 2013. "The bull and bear market model of Huang and Day: Some extensions and new results," Journal of Economic Dynamics and Control, Elsevier, vol. 37(11), pages 2351-2370.
  42. Domenico Colucci & Vincenzo Valori, 2006. "Asset price dynamics when behavioural heterogeneity varies," Working Papers - Mathematical Economics 2006-01, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  43. Tianhao Zhi, 2016. "The Theory and Models of Keynesian Disequilibrium Macroeconomics," Working Paper Series 185, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  44. Vivien Lespagnol & Juliette Rouchier, 2014. "Trading Volume and Market Efficiency: An Agent Based Model with Heterogenous Knowledge about Fundamentals," Working Papers halshs-00997573, HAL.
  45. Radu T. Pruna & Maria Polukarov & Nicholas R. Jennings, 2016. "A new structural stochastic volatility model of asset pricing and its stylized facts," Papers 1604.08824, arXiv.org.
  46. Michele Berardi, 2016. "Endogenous time-varying risk aversion and asset returns," Journal of Evolutionary Economics, Springer, vol. 26(3), pages 581-601, July.
  47. Franke, Reiner, 2010. "On the specification of noise in two agent-based asset pricing models," Journal of Economic Dynamics and Control, Elsevier, vol. 34(6), pages 1140-1152, June.
  48. Qi Nan Zhai, 2015. "Asset Pricing Under Ambiguity and Heterogeneity," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 16, April.
  49. Chiarella Carl & Semmler Willi & Mittnik Stefan & Zhu Peiyuan, 2002. "Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 6(1), pages 1-39, April.
  50. Chiarella, Carl & Dieci, Roberto & Gardini, Laura, 2002. "Speculative behaviour and complex asset price dynamics: a global analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 49(2), pages 173-197, October.
  51. Lengnick, Matthias & Wohltmann, Hans-Werner, 2014. "Optimal monetary policy in a new Keynesian model with animal spirits and financial markets," Economics Working Papers 2014-12, Christian-Albrechts-University of Kiel, Department of Economics.
  52. Andrea Gaunersdorfer & Cars Hommes & Florian Wagener, 2001. "Adaptive Beliefs and the volatility of asset prices," CeNDEF Workshop Papers, January 2001 5A.1, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  53. Lee, Chun I & Gleason, Kimberly C. & Mathur, Ike, 2001. "Trading rule profits in Latin American currency spot rates," International Review of Financial Analysis, Elsevier, vol. 10(2), pages 135-156.
  54. Lux, Thomas, 2008. "Stochastic behavioral asset pricing models and the stylized facts," Kiel Working Papers 1426, Kiel Institute for the World Economy (IfW).
  55. Simone Alfarano & Thomas Lux & Friedrich Wagner, 2005. "Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model," Computational Economics, Springer;Society for Computational Economics, vol. 26(1), pages 19-49, August.
  56. Sethi, Rajiv, 1996. "Endogenous regime switching in speculative markets," Structural Change and Economic Dynamics, Elsevier, vol. 7(1), pages 99-118, March.
  57. De Grauwe, Paul & Rovira Kaltwasser, Pablo, 2012. "Animal spirits in the foreign exchange market," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1176-1192.
  58. Giancarlo Costa & Marco Calzi, 1994. "Sulla vitalità di un mercato finanziario," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 17(2), pages 49-60, September.
  59. Chiarella Carl & Di Guilmi Corrado, 2015. "The limit distribution of evolving strategies in financial markets," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(2), pages 137-159, April.
  60. Philip Pilkington, 2013. "A Stock-flow Approach to a General Theory of Pricing," Economics Working Paper Archive wp_781, Levy Economics Institute.
  61. Bernd Pape, 2007. "Asset allocation and multivariate position based trading," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 2(2), pages 163-193, December.
  62. Lux, Thomas, 2008. "Stochastic behavioral asset pricing models and the stylized facts," Economics Working Papers 2008,08, Christian-Albrechts-University of Kiel, Department of Economics.
  63. Kidd, Willis V. & Brorsen, B. Wade, 2004. "Why have the returns to technical analysis decreased?," Journal of Economics and Business, Elsevier, vol. 56(3), pages 159-176.
  64. Chiarella, Carl & Dieci, Roberto & Gardini, Laura, 2006. "Asset price and wealth dynamics in a financial market with heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1755-1786.
  65. Xue-Zhong He & Kai Li & Junjie Wei & Min Zheng, 2009. "Market Stability Switches in a Continuous-Time Financial Market with Heterogeneous Beliefs," Research Paper Series 252, Quantitative Finance Research Centre, University of Technology, Sydney.
  66. 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.
  67. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2001. "Microscopic Models of Financial Markets," Papers cond-mat/0110354, arXiv.org.
  68. Demosthenes Tambakis, 2009. "Feedback trading and intermittent market turbulence," Quantitative Finance, Taylor & Francis Journals, vol. 9(4), pages 477-489.
  69. Grosche, Stephanie, 2012. "Limitations of Granger Causality Analysis to assess the price effects from the financialization of agricultural commodity markets under bounded rationality," Discussion Papers 121868, University of Bonn, Institute for Food and Resource Economics.
  70. Xue-Zhong He & Kai Li, 2011. "Heterogeneous Beliefs and Adaptive Behaviour in a Continuous-Time Asset Price Model," Research Paper Series 291, Quantitative Finance Research Centre, University of Technology, Sydney.
  71. Tianhao Zhi, 2015. "A Critique of Modern Money Theory and the Disequilibrium Dynamics of Banking and Government Finance," Working Paper Series 184, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  72. Fernando Fernandez-Rodriguez & Maria-Dolores Garcia-Artiles & Juan Manuel Martin-Gonzalez, 2002. "A model of speculative behaviour with a strange attractor," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(3), pages 143-161.
  73. Xue-Zhong He & Kai Li, 2014. "Time Series Momentum and Market Stability," Research Paper Series 341, Quantitative Finance Research Centre, University of Technology, Sydney.
  74. 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.
  75. repec:kie:kieliw:1426 is not listed on IDEAS
  76. Grosche, Stephanie & Heckelei, Thomas, 2014. "Price dynamics and financialization effects in corn futures markets with heterogeneous traders," Discussion Papers 172077, University of Bonn, Institute for Food and Resource Economics.
  77. Schütz, Gunter M. & de Almeida Prado, Fernando Pigeard & Harris, Rosemary J. & Belitsky, Vladimir, 2009. "Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(19), pages 4126-4144.
  78. Franke, Reiner & Ghonghadze, Jaba, 2014. "Integrating Real Sector Growth and Inflation Into An Agent-Based Stock Market Dynamics," FinMaP-Working Papers 4, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  79. Soon Ryoo & Yun K. Kim, 2014. "Income Distribution, Consumer Debt and Keeping up with the Joneses," Metroeconomica, Wiley Blackwell, vol. 65(4), pages 585-618, November.
  80. Lux, Thomas, 1995. "Herd Behaviour, Bubbles and Crashes," Economic Journal, Royal Economic Society, vol. 105(431), pages 881-896, July.
  81. Brandouy, Olivier, 2001. "Laboratory incentive structure and control-test design in an experimental asset market," Journal of Economic Psychology, Elsevier, vol. 22(1), pages 1-26, February.
  82. Razvan Stefanescu & Ramona Dumitriu, 2016. "Contrarian and Momentum Profits during Periods of High Trading Volume preceded by Stock Prices Shocks," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 378-384.
  83. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2011. "The dynamic behaviour of asset prices in disequilibrium: a survey," International Journal of Behavioural Accounting and Finance, Inderscience Enterprises Ltd, vol. 2(2), pages 101-139.
  84. Weihong HUANG & Wanying Wang, 2012. "Price-Volume Relations in Financial Market," Economic Growth Centre Working Paper Series 1209, Nanyang Technological University, School of Humanities and Social Sciences, Economic Growth Centre.
  85. Chiarella, Carl & He, Xue-Zhong & Zheng, Min, 2011. "An analysis of the effect of noise in a heterogeneous agent financial market model," Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 148-162, January.
  86. Carl Chiarella & Roberto Dieci & Laura Gardini, 2003. "A Dynamic Analysis of Speculation Across Two Markets," Research Paper Series 89, Quantitative Finance Research Centre, University of Technology, Sydney.
  87. Carl Chiarella & Xue-Zhong He, 2000. "Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker," Research Paper Series 35, Quantitative Finance Research Centre, University of Technology, Sydney.
  88. 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.
  89. repec:kie:kieliw:1868 is not listed on IDEAS
  90. Alessandro Carraro & Giorgio Ricchiuti, 2014. "Heterogeneous Fundamentalists and Market Maker Inventories," Working Papers - Economics wp2014_16.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  91. Daniel Fricke & Thomas Lux, 2015. "The effects of a financial transaction tax in an artificial financial market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 10(1), pages 119-150, April.
  92. Frank Westerhoff & Reiner Franke, 2012. "Converse trading strategies, intrinsic noise and the stylized facts of financial markets," Quantitative Finance, Taylor & Francis Journals, vol. 12(3), pages 425-436, June.
  93. Carl Chiarella & Corrado Di Guilmi, 2011. "Limit Distribution of Evolving Strategies in Financial Markets," Research Paper Series 294, Quantitative Finance Research Centre, University of Technology, Sydney.
  94. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2007. "Agent-based Models of Financial Markets," Papers physics/0701140, arXiv.org.
  95. Reiner Franke & Toichiro Asada, 2008. "Incorporating positions into asset pricing models with order-based strategies," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 3(2), pages 201-227, December.
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