IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login

Citations for "A microscopic model of the stock market : Cycles, booms, and crashes"

by Levy, Moshe & Levy, Haim & Solomon, Sorin

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as in new window

  1. 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.
  2. Mikhail Anufriev & Giulio Bottazzi, 2006. "Behavioral Consistent Market Equilibria under Procedural Rationality," Computing in Economics and Finance 2006 225, Society for Computational Economics.
  3. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2001. "Microscopic Models of Financial Markets," Papers cond-mat/0110354, arXiv.org.
  4. Mikhail Anufriev & Giulio Bottazzi, 2004. "Asset Pricing Model with Heterogeneous Investment Horizons," LEM Papers Series 2004/22, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  5. Lux, Thomas, 2007. "Applications of statistical physics in finance and economics," Economics Working Papers 2007,05, Christian-Albrechts-University of Kiel, Department of Economics.
  6. Anufriev, M. & Bottazzi, G., 2006. "Price and Wealth Dynamics in a Speculative Market with Generic Procedurally Rational Traders," CeNDEF Working Papers 06-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  7. Anufriev, Mikhail & Dindo, Pietro, 2010. "Wealth-driven selection in a financial market with heterogeneous agents," Journal of Economic Behavior & Organization, Elsevier, vol. 73(3), pages 327-358, March.
  8. Sorin Solomon & Natasa Golo, 2014. "Minsky Financial Instability, Interscale Feedback, Percolation and Marshall-Walras Disequilibrium," Papers 1402.0176, arXiv.org.
  9. Ehrentreich, Norman, 2006. "Technical trading in the Santa Fe Institute Artificial Stock Market revisited," Journal of Economic Behavior & Organization, Elsevier, vol. 61(4), pages 599-616, December.
  10. 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, arXiv.org.
  11. Baruník, Jozef & Kukacka, Jiri, 2014. "Realizing stock market crashes: stochastic cusp catastrophe model of returns under time-varying volatility," FinMaP-Working Papers 15, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  12. 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.
  13. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2008. "Heterogeneity, Market Mechanisms, and Asset Price Dynamics," Research Paper Series 231, Quantitative Finance Research Centre, University of Technology, Sydney.
  14. Cars H. Hommes, 2005. "Heterogeneous Agent Models in Economics and Finance," Tinbergen Institute Discussion Papers 05-056/1, Tinbergen Institute.
  15. repec:thk:rnotes:39 is not listed on IDEAS
  16. Baosheng Yuan & Kan Chen, 2006. "Impact of investor’s varying risk aversion on the dynamics of asset price fluctuations," Journal of Economic Interaction and Coordination, Springer, vol. 1(2), pages 189-214, November.
  17. Blake LeBaron, 2010. "Heterogeneous Gain Learning and the Dynamics of Asset Prices," Working Papers 29, Brandeis University, Department of Economics and International Businesss School, revised Dec 2010.
  18. Blake LeBaron, 2011. "Active and Passive Learning in Agent-based Financial Markets," Eastern Economic Journal, Palgrave Macmillan, vol. 37(1), pages 35-43.
  19. Anufriev, M. & Dindo, P.D.E., 2007. "Wealth Selection in a Financial Market with Heterogeneous Agents," CeNDEF Working Papers 07-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  20. Jo\~ao P. da Cruz & Pedro G. Lind, 2011. "The bounds of heavy-tailed return distributions in evolving complex networks," Papers 1109.2803, arXiv.org, revised Jan 2013.
  21. LeBaron, Blake, 2000. "Agent-based computational finance: Suggested readings and early research," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 679-702, June.
  22. Derveeuw, Julien, 2005. "Market dynamics and agents behaviors: a computational approach," MPRA Paper 4916, University Library of Munich, Germany.
  23. 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.
  24. Jozef Barunik & Jiri Kukacka, 2013. "Realizing stock market crashes: stochastic cusp catastrophe model of returns under the time-varying volatility," Papers 1302.7036, arXiv.org, revised May 2013.
  25. 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.
  26. Sorin Solomon & Moshe Levy, 2000. "Market Ecology, Pareto Wealth Distribution and Leptokurtic Returns in Microscopic Simulation of the LLS Stock Market Model," Papers cond-mat/0005416, arXiv.org.
  27. Gusev, Maxim & Kroujiline, Dimitri & Govorkov, Boris & Sharov, Sergey V. & Ushanov, Dmitry & Zhilyaev, Maxim, 2014. "Predictable markets? A news-driven model of the stock market," MPRA Paper 58831, University Library of Munich, Germany.
  28. Levy, Moshe, 2008. "Stock market crashes as social phase transitions," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 137-155, January.
  29. 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.
  30. Georges, Christophre, 2006. "Learning with misspecification in an artificial currency market," Journal of Economic Behavior & Organization, Elsevier, vol. 60(1), pages 70-84, May.
  31. 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.
  32. Anufriev Mikhail & Bottazzi Giulio, 2012. "Asset Pricing with Heterogeneous Investment Horizons," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(4), pages 1-38, October.
  33. Thomas Lux, 2006. "Applications of Statistical Physics in Finance and Economics," Working Papers wpn06-07, Warwick Business School, Finance Group.
  34. Jo\~ao P. da Cruz & Pedro G. Lind, 2012. "Heavy-tails in economic data: fundamental assumptions, modelling and analysis," Papers 1202.0142, arXiv.org.
  35. Mikhail Anufriev & Giulio Bottazzi, 2005. "Price and Wealth Dynamics in a Speculative Market with an Arbitrary Number of Generic Technical Traders," LEM Papers Series 2005/06, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  36. Lux, Thomas, 2006. "Financial power laws: Empirical evidence, models, and mechanism," Economics Working Papers 2006,12, Christian-Albrechts-University of Kiel, Department of Economics.
  37. Anufriev, M. & Dindo, P.D.E., 2006. "Equilibrium Return and Agents' Survival in a Multiperiod Asset Market: Analytic Support of a Simulation Model," CeNDEF Working Papers 06-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  38. Maldarella, Dario & Pareschi, Lorenzo, 2012. "Kinetic models for socio-economic dynamics of speculative markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(3), pages 715-730.
  39. G. Toscani & C. Brugna & S. Demichelis, 2012. "Kinetic models for the trading of goods," Papers 1208.6305, arXiv.org.
  40. Mizuta, Hideyuki & Steiglitz, Ken & Lirov, Erez, 2003. "Effects of price signal choices on market stability," Journal of Economic Behavior & Organization, Elsevier, vol. 52(2), pages 235-251, October.
  41. Anufriev, Mikhail & Bottazzi, Giulio & Pancotto, Francesca, 2006. "Equilibria, stability and asymptotic dominance in a speculative market with heterogeneous traders," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1787-1835.
  42. Baosheng Yuan & Kan Chen, 2005. "Impact of Investor's Varying Risk Aversion on the Dynamics of Asset Price Fluctuations," Papers physics/0506224, arXiv.org.
  43. Levy, Moshe, 2005. "Social phase transitions," Journal of Economic Behavior & Organization, Elsevier, vol. 57(1), pages 71-87, May.
  44. Giulio Bottazzi & Mikhail Anufriev, 2005. "Price and Wealth Dynamics in a Speculative Market with an Arbitrary Number of Generic Technical Trading Strategies," Computing in Economics and Finance 2005 375, Society for Computational Economics.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.