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Citations for "Time variation of second moments from a noise trader/infection model"

by Lux, Thomas

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  1. Thomas Lux, 2008. "Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effects in a Business Climate Survey," Kiel Working Papers 1424, Kiel Institute for the World Economy.
  2. Yeh, Chia-Hsuan & Yang, Chun-Yi, 2010. "Examining the effectiveness of price limits in an artificial stock market," Journal of Economic Dynamics and Control, Elsevier, vol. 34(10), pages 2089-2108, October.
  3. Tae-Seok Jang, 2015. "Identification of Social Interaction Effects in Financial Data," Computational Economics, Society for Computational Economics, vol. 45(2), pages 207-238, February.
  4. Westerhoff, Frank H., 2003. "Expectations driven distortions in the foreign exchange market," Journal of Economic Behavior & Organization, Elsevier, vol. 51(3), pages 389-412, July.
  5. Chiarella, Carl & He, Xue-Zhong, 2003. "Heterogeneous Beliefs, Risk, And Learning In A Simple Asset-Pricing Model With A Market Maker," Macroeconomic Dynamics, Cambridge University Press, vol. 7(04), pages 503-536, September.
  6. J. Doyne Farmer & John Geanakoplos, 2008. "The virtues and vices of equilibrium and the future of financial economics," Papers 0803.2996, arXiv.org.
  7. Biao Wu, 2007. "Interacting Agent Feedback Finance Model," Papers math/0703827, arXiv.org.
  8. Thomas Lux, 2006. "Financial Power Laws: Empirical Evidence, Models, and Mechanism," Working Papers wpn06-08, Warwick Business School, Finance Group.
  9. 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.
  10. Thomas Lux, 2007. "Application of Statistical Physics in Finance and Economics," Working Papers wp07-09, Warwick Business School, Finance Group.
  11. Carl Chiarella & Xue-Zhong He & Min Zheng, 2009. "Heterogeneous Expectations and Exchange Rate Dynamics," Research Paper Series 243, Quantitative Finance Research Centre, University of Technology, Sydney.
  12. Markus Haas, 2004. "Mixed Normal Conditional Heteroskedasticity," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(2), pages 211-250.
  13. Jaba Ghonghadze & Thomas Lux, 2009. "Modeling the Dynamics of EU Economic Sentiment Indicators: An Interaction-Based Approach," Kiel Working Papers 1487, Kiel Institute for the World Economy.
  14. J. Doyne Farmer, 2002. "Market force, ecology and evolution," Industrial and Corporate Change, Oxford University Press, vol. 11(5), pages 895-953, November.
  15. Wagner, D.C. & Schmitt, T.A. & Schäfer, R. & Guhr, T. & Wolf, D.E., 2014. "Analysis of a decision model in the context of equilibrium pricing and order book pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 415(C), pages 347-353.
  16. Carl Chiarella & Xue-Zhong He & Duo Wang, 2004. "Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment," Research Paper Series 142, Quantitative Finance Research Centre, University of Technology, Sydney.
  17. Mikhail Anufriev & Giulio Bottazzi & Francesca Pancotto, 2004. "Price and Wealth Asymptotic Dynamics with CRRA Technical Trading Strategies," LEM Papers Series 2004/23, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  18. 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.
  19. Cars Hommes, 2005. "Heterogeneous Agent Models: Two Simple Case Studies," Tinbergen Institute Discussion Papers 05-055/1, Tinbergen Institute.
  20. Carl Chiarella & Xue-Zhong He, 2001. "Asset Price and Wealth Dynamics Under Heterogeneous Expectations," Research Paper Series 56, Quantitative Finance Research Centre, University of Technology, Sydney.
  21. Westerhoff, Frank H. & Dieci, Roberto, 2006. "The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach," Journal of Economic Dynamics and Control, Elsevier, vol. 30(2), pages 293-322, February.
  22. Xue-Zhong He & Youwei Li, 2005. "Heterogeneity, Profitability and Autocorrelations," Research Paper Series 147, Quantitative Finance Research Centre, University of Technology, Sydney.
  23. Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2008. "Time variation of higher moments in a financial market with heterogeneous agents: An analytical approach," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 101-136, January.
  24. 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.
  25. Cars H. Hommes, 2005. "Heterogeneous Agent Models in Economics and Finance," Tinbergen Institute Discussion Papers 05-056/1, Tinbergen Institute.
  26. Cars Hommes, 2005. "Heterogeneous Agent Models: Two Simple Case Studies," Tinbergen Institute Discussion Papers 05-055/1, Tinbergen Institute.
  27. Erhan Bayraktar & Ulrich Horst & Ronnie Sircar, 2007. "Queueing Theoretic Approaches to Financial Price Fluctuations," Papers math/0703832, arXiv.org.
  28. 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.
  29. Franke Reiner, 2012. "Microfounded Animal Spirits in the New Macroeconomic Consensus," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(4), pages 1-41, October.
  30. Thomas Lux, 2008. "Stochastic Behavioral Asset Pricing Models and the Stylized Facts," Working Papers wp08-03, Warwick Business School, Finance Group.
  31. Marco Raberto & Silvano Cincott & Sergio M. Focardi & Michele Marchesi, 2002. "Traders’ long-run wealth in an artificial financial market," Computing in Economics and Finance 2002 301, Society for Computational Economics.
  32. Palczewski, Jan & Schenk-Hoppé, Klaus Reiner, 2010. "From discrete to continuous time evolutionary finance models," Journal of Economic Dynamics and Control, Elsevier, vol. 34(5), pages 913-931, May.
  33. Chen, Shu-Heng & Lux, Thomas & Marchesi, Michele, 2001. "Testing for non-linear structure in an artificial financial market," Journal of Economic Behavior & Organization, Elsevier, vol. 46(3), pages 327-342, November.
  34. 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.
  35. Cars H. Hommes, 2005. "Heterogeneous Agent Models in Economics and Finance," Tinbergen Institute Discussion Papers 05-056/1, Tinbergen Institute.
  36. Feldman, Todd, 2010. "Portfolio manager behavior and global financial crises," Journal of Economic Behavior & Organization, Elsevier, vol. 75(2), pages 192-202, August.
  37. Roberto Dieci & Frank Westerhoff, 2012. "A simple model of a speculative housing market," Journal of Evolutionary Economics, Springer, vol. 22(2), pages 303-329, April.
  38. 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.
  39. Krause, Sebastian M. & Bornholdt, Stefan, 2013. "Spin models as microfoundation of macroscopic market models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(18), pages 4048-4054.
  40. Gaunersdorfer, A. & Hommes, C.H. & Wagener, F.O.O., 2003. "Bifurcation Routes to Volatility Clustering under Evolutionary Learning," CeNDEF Working Papers 03-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  41. Chiarella, Carl & He, Xue-Zhong, 2003. "Dynamics of beliefs and learning under aL-processes -- the heterogeneous case," Journal of Economic Dynamics and Control, Elsevier, vol. 27(3), pages 503-531, January.
  42. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2001. "Microscopic Models of Financial Markets," Papers cond-mat/0110354, arXiv.org.
  43. Chiarella, Carl & He, Xue-Zhong, 2002. "Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model," Computational Economics, Society for Computational Economics, vol. 19(1), pages 95-132, February.
  44. Chen, Shu-Heng & Yeh, Chia-Hsuan, 2002. "On the emergent properties of artificial stock markets: the efficient market hypothesis and the rational expectations hypothesis," Journal of Economic Behavior & Organization, Elsevier, vol. 49(2), pages 217-239, October.
  45. Xue-Zhong He & Youwei Li, 2015. "Testing of a Market Fraction Model and Power-Law Behaviour in the Dax 30," Research Paper Series 354, Quantitative Finance Research Centre, University of Technology, Sydney.
  46. 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.
  47. Farmer, J. Doyne & Joshi, Shareen, 2002. "The price dynamics of common trading strategies," Journal of Economic Behavior & Organization, Elsevier, vol. 49(2), pages 149-171, October.
  48. Christian Pierdzioch & Georg Stadtmann, 2010. "Herdenverhalten von Wechselkursprognostikern?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), Justus-Liebig University Giessen, Department of Statistics and Economics, vol. 230(4), pages 436-453, August.
  49. Hommes, C.H., 2005. "Heterogeneous Agents Models: two simple examples, forthcoming In: Lines, M. (ed.) Nonlinear Dynamical Systems in Economics, CISM Courses and Lectures, Springer, 2005, pp.131-164," CeNDEF Working Papers 05-01, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  50. Daniel C. Wagner & Thilo A. Schmitt & Rudi Sch\"afer & Thomas Guhr & Dietrich E. Wolf, 2014. "Analysis of a decision model in the context of equilibrium pricing and order book pricing," Papers 1404.7356, arXiv.org.
  51. Lux, Thomas, 2006. "Financial power laws: Empirical evidence, models, and mechanism," Economics Working Papers 2006,12, Christian-Albrechts-University of Kiel, Department of Economics.
  52. Gabaix, Xavier & Gopikrishnan, Parameswaran & Plerou, Vasiliki & Eugene Stanley, H., 2008. "Quantifying and understanding the economics of large financial movements," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 303-319, January.
  53. Olmedo,E. & Velasco, F. & Valderas, J.M., 2007. "Caracterización no lineal y predicción no paramétrica en el IBEX35/Nonlinear Characterization and Predictions of IBEX 35," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 25, pages 815 - 28 pá, Diciembre.
  54. Thomas Lux, 2006. "Applications of Statistical Physics in Finance and Economics," Working Papers wpn06-07, Warwick Business School, Finance Group.
  55. Chia-Hsuan Yeh & Chun-Yi Yang, 2013. "Do price limits hurt the market?," Journal of Economic Interaction and Coordination, Springer, vol. 8(1), pages 125-153, April.
  56. Youwei Li & Xue-Zhong He, 2005. "Long Memory, Heterogeneity, and Trend Chasing," Computing in Economics and Finance 2005 113, Society for Computational Economics.
  57. 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.
  58. Carl Chiarella & Xue-Zhong He & Duo Wang, 2004. "A Behavioural Asset Pricing Model with a Time-Varying Second Moment," Research Paper Series 141, Quantitative Finance Research Centre, University of Technology, Sydney.
  59. James Primbs & Muruhan Rathinam, 2009. "Trader Behavior and its Effect on Asset Price Dynamics," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(2), pages 151-181.
  60. J.-H. Steffi Yang & Satchell, S.E., 2002. "The Impact of Technical Analysis on Asset Price Dynamics," Cambridge Working Papers in Economics 0219, Faculty of Economics, University of Cambridge.
  61. Levy, Moshe, 2008. "Stock market crashes as social phase transitions," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 137-155, January.
  62. 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.
  63. Xue-Zhong He & Youwei Li, 2008. "Heterogeneity, convergence, and autocorrelations," Quantitative Finance, Taylor & Francis Journals, vol. 8(1), pages 59-79.
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