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Adaptive Learning in Financial Markets

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Cited by:

  1. Name 1 Dieter Wang Email 1 & Iman (I.P.P.) van Lelyveld & Julia (J.) Schaumburg, 2018. "Do information contagion and business model similarities explain bank credit risk commonalities?," Tinbergen Institute Discussion Papers 18-100/IV, Tinbergen Institute.
  2. Bullard, James & Duffy, John, 1999. "Using Genetic Algorithms to Model the Evolution of Heterogeneous Beliefs," Computational Economics, Springer;Society for Computational Economics, vol. 13(1), pages 41-60, February.
  3. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2001. "Microscopic Models of Financial Markets," Papers cond-mat/0110354, arXiv.org.
  4. Elyès Jouini & Clotilde Napp, 2016. "Live fast, die young," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 62(1), pages 265-278, June.
  5. Diks, Cees & Dindo, Pietro, 2008. "Informational differences and learning in an asset market with boundedly rational agents," Journal of Economic Dynamics and Control, Elsevier, vol. 32(5), pages 1432-1465, May.
  6. Andrea Gaunersdorfer & Cars Hommes, 2007. "A Nonlinear Structural Model for Volatility Clustering," Springer Books, in: Gilles Teyssière & Alan P. Kirman (ed.), Long Memory in Economics, pages 265-288, Springer.
  7. Sögner, Leopold, 2015. "Learning, convergence and economic constraints," Mathematical Social Sciences, Elsevier, vol. 75(C), pages 27-43.
  8. Michael Brennan & Feifei Li & Walter Torous, 2005. "Dollar Cost Averaging," Review of Finance, Springer, vol. 9(4), pages 509-535, December.
  9. Chiarella, Carl & He, Xue-Zhong & Wei, Lijian, 2015. "Learning, information processing and order submission in limit order markets," Journal of Economic Dynamics and Control, Elsevier, vol. 61(C), pages 245-268.
  10. Amilon, Henrik, 2008. "Estimation of an adaptive stock market model with heterogeneous agents," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 342-362, March.
  11. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2007. "Agent-based Models of Financial Markets," Papers physics/0701140, arXiv.org.
  12. David Goldbaum, 2003. "Profitable technical trading rules as a source of price instability," Quantitative Finance, Taylor & Francis Journals, vol. 3(3), pages 220-229.
  13. Maik Heinemann, 2007. "E–stability and stability of adaptive learning in models with asymmetric information," Working Paper Series in Economics 69, University of Lüneburg, Institute of Economics.
  14. Benjamin M. Blau & Robert A. Van Ness & Chip Wade, 2008. "Capitalizing on Catastrophe: Short Selling Insurance Stocks Around Hurricanes Katrina and Rita," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 75(4), pages 967-996, December.
  15. Iris Lucas & Michel Cotsaftis & Cyrille Bertelle, 2017. "Heterogeneity and Self-Organization of Complex Systems Through an Application to Financial Market with Multiagent Systems," Post-Print hal-02114933, HAL.
  16. Lijian Wei & Xiong Xiong & Wei Zhang & Xue-Zhong He & Yongjie Zhang, 2017. "The effect of genetic algorithm learning with a classifier system in limit order markets," Published Paper Series 2017-3, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  17. Bischi, Gian-Italo & Gallegati, Mauro & Gardini, Laura & Leombruni, Roberto & Palestrini, Antonio, 2006. "Herd Behavior And Nonfundamental Asset Price Fluctuations In Financial Markets," Macroeconomic Dynamics, Cambridge University Press, vol. 10(4), pages 502-528, September.
  18. Muendler, Marc-Andreas, 2007. "The possibility of informationally efficient markets," Journal of Economic Theory, Elsevier, vol. 133(1), pages 467-483, March.
  19. Goldbaum, David, 2017. "Divergent Behavior in Markets with Idiosyncratic Private Information," Review of Behavioral Economics, now publishers, vol. 4(2), pages 181-213, September.
  20. 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.
  21. Arifovic, Jasmina & He, Xue-zhong & Wei, Lijian, 2022. "Machine learning and speed in high-frequency trading," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
  22. Goldbaum, David, 2005. "Market efficiency and learning in an endogenously unstable environment," Journal of Economic Dynamics and Control, Elsevier, vol. 29(5), pages 953-978, May.
  23. Potzelberger, Klaus & Sogner, Leopold, 2003. "Stochastic equilibrium: learning by exponential smoothing," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1743-1770, August.
  24. Li, Jinfang, 2022. "The sentiment pricing dynamics with short-term and long-term learning," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  25. Carl Chiarella & Mauro Gallegati & Roberto Leombruni & Antonio Palestrini, 2003. "Asset Price Dynamics among Heterogeneous Interacting Agents," Computational Economics, Springer;Society for Computational Economics, vol. 22(2), pages 213-223, October.
  26. Heinemann, Maik, 2009. "E-stability and stability of adaptive learning in models with private information," Journal of Economic Dynamics and Control, Elsevier, vol. 33(12), pages 2001-2014, December.
  27. Stefanescu, Razvan & Dumitriu, Ramona, 2016. "Particularitǎţi ale evoluţiei variabilelor financiare [Some particularities of the financial variables evolution]," MPRA Paper 73481, University Library of Munich, Germany, revised 02 Sep 2016.
  28. 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(4), pages 503-536, September.
  29. Goldbaum, David, 2006. "Self-organization and the persistence of noise in financial markets," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1837-1855.
  30. Vagnani, Gianluca, 2009. "The Black-Scholes model as a determinant of the implied volatility smile: A simulation study," Journal of Economic Behavior & Organization, Elsevier, vol. 72(1), pages 103-118, October.
  31. Levy, Tamir & Yagil, Joseph, 2005. "Observed versus theoretical prices under price limit regimes," Journal of Economics and Business, Elsevier, vol. 57(3), pages 208-237.
  32. Ryuichi Yamamoto, 2011. "Volatility clustering and herding agents: does it matter what they observe?," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 6(1), pages 41-59, May.
  33. 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.
  34. Marc-Andreas Muendler, 2004. "The Existence of Informationally Efficient Markets When Individuals Are Rational," CESifo Working Paper Series 1295, CESifo.
  35. David Goldbaum, 2004. "On the Possibility of Informationally Efficient Markets," Computing in Economics and Finance 2004 139, Society for Computational Economics.
  36. Name 1 Dieter Wang Email 1 & Iman (I.P.P.) van Lelyveld & Julia (J.) Schaumburg, 2018. "Do information contagion and business model similarities explain bank credit risk commonalities?," Tinbergen Institute Discussion Papers 18-100/IV, Tinbergen Institute.
  37. Potzelberger, Klaus & Sogner, Leopold, 2004. "Sample autocorrelation learning in a capital market model," Journal of Economic Behavior & Organization, Elsevier, vol. 53(2), pages 215-236, February.
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