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Citations for "Financial markets as nonlinear adaptive evolutionary systems"

by C. H. Hommes

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  1. Bottazzi, Giulio & Dosi, Giovanni & Rebesco, Igor, 2005. "Institutional architectures and behavioral ecologies in the dynamics of financial markets," Journal of Mathematical Economics, Elsevier, vol. 41(1-2), pages 197-228, February.
  2. Terje Lensberg & Klaus Reiner Schenk-Hoppe, 2006. "On the Evolution of Investment Strategies and the Kelly Rule – A Darwinian Approach," Swiss Finance Institute Research Paper Series 06-38, Swiss Finance Institute.
  3. Constantinos VORLOW & Antonios ANTONIOU & Catherine KYRTSOU, 2004. "Surrogate Data Analysis and Stochastic Chaotic Modelling: Application to Stock Exchange Returns Series," Computing in Economics and Finance 2004 27, Society for Computational Economics.
  4. Cristian Wieland & Frank Westerhoff, 2004. "A behavioral cobweb model with heterogeneous speculators," Computing in Economics and Finance 2004 171, Society for Computational Economics.
  5. Cars Hommes & Florian Wagener, 2008. "Complex Evolutionary Systems in Behavioral Finance," Tinbergen Institute Discussion Papers 08-054/1, Tinbergen Institute.
  6. Boer-Sorban, K. & de Bruin, A. & Kaymak, U., 2005. "On the Design of Artificial Stock Markets," ERIM Report Series Research in Management ERS-2005-001-LIS, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  7. Brock, W.A. & Hommes, C.H. & Wagener, F.O.O., 2002. "Evolutionary dynamics in markets with many trader types," CeNDEF Working Papers 02-10, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  8. Andrea Gaunersdorfer & Cars Hommes & Florian O.O. Wagener, 2001. "Bifurcation Routes to Volatility Clustering," Tinbergen Institute Discussion Papers 01-015/1, Tinbergen Institute.
  9. Roberto Dieci & Ilaria Foroni & Laura Gardini & Xue-Zhong He, 2005. "Market Mood, Adaptive Beliefs and Asset Price Dynamics," Research Paper Series 162, Quantitative Finance Research Centre, University of Technology, Sydney.
  10. Gaunersdorfer, Andrea & Hommes, Cars H. & Wagener, Florian O.O., 2008. "Bifurcation routes to volatility clustering under evolutionary learning," Journal of Economic Behavior & Organization, Elsevier, vol. 67(1), pages 27-47, July.
  11. Cars Hommes & Joep Sonnemans & Jan Tuinstra & Henk van de Velden, 2004. "Coordination of Expectations in Asset Pricing Experiments," DNB Staff Reports (discontinued) 119, Netherlands Central Bank.
  12. Wyart, Matthieu & Bouchaud, Jean-Philippe, 2007. "Self-referential behaviour, overreaction and conventions in financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 63(1), pages 1-24, May.
  13. 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.
  14. Huang, Weihong & Zheng, Huanhuan & Chia, Wai-Mun, 2010. "Financial crises and interacting heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, vol. 34(6), pages 1105-1122, June.
  15. 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.
  16. Hommes, C.H. & Sonnemans, J. & Tuinstra, J. & Velden, H. van de, 2002. "Coordination of Expectations in Asset Pricing Experiments (Revised June 2003)," CeNDEF Working Papers 02-07, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  17. Reitz, Stefan & Westerhoff, Frank, 2003. "Nonlinearities and Cyclical Behavior: The Role of Chartists and Fundamentalists," CFS Working Paper Series 2003/10, Center for Financial Studies (CFS).
  18. Brock, W.A. & Hommes, C.H., 2001. "Heterogeneous beliefs and and routes to complez dynamics in asset pricing models with price contingent contracts," CeNDEF Working Papers 01-05, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  19. Hommes, C.H. & Sonnemans, J. & Tuinstra, J. & Velden, H. van de, 2004. "Coordination of Expectations in Asset Pricing Experiments (Version March 2004)," CeNDEF Working Papers 04-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  20. Chiarella, C. & Iori, G. & Perello, J., 2008. "The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows," Working Papers 08/04, Department of Economics, City University London.
  21. He, Kaijian & Yu, Lean & Tang, Ling, 2015. "Electricity price forecasting with a BED (Bivariate EMD Denoising) methodology," Energy, Elsevier, vol. 91(C), pages 601-609.
  22. Parke, William R. & Waters, George A., 2014. "On The Evolutionary Stability Of Rational Expectations," Macroeconomic Dynamics, Cambridge University Press, vol. 18(07), pages 1581-1606, October.
  23. Igor Evstigneev & Michael Taksar, 2006. "Dynamic interaction models of economic equilibrium," The School of Economics Discussion Paper Series 0623, Economics, The University of Manchester.
  24. Carl Chiarella & Roberto Dieci & Xue-Zhong He & Kai Li, 2012. "An Evolutionary CAPM Under Heterogeneous Beliefs," Research Paper Series 315, Quantitative Finance Research Centre, University of Technology, Sydney.
  25. Xue-Zhong He & Frank H. Westerhoff, 2004. "Commodity Markets, Price Limiters and Speculative Price Dynamics," Research Paper Series 136, Quantitative Finance Research Centre, University of Technology, Sydney.
  26. Roy Cerqueti & Giulia Rotundo, 2015. "A review of aggregation techniques for agent-based models: understanding the presence of long-term memory," Quality & Quantity- International Journal of Methodology, Springer, vol. 49(4), pages 1693-1717, July.
  27. 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.
  28. Westerhoff, Frank, 2003. "Speculative markets and the effectiveness of price limits," Journal of Economic Dynamics and Control, Elsevier, vol. 28(3), pages 493-508, December.
  29. Didier Sornette & Wei-Xing Zhou, 2005. "Importance of Positive Feedbacks and Over-confidence in a Self-Fulfilling Ising Model of Financial Markets," Papers cond-mat/0503607, arXiv.org, revised Mar 2005.
  30. Park, Beum-Jo, 2014. "Time-varying, heterogeneous risk aversion and dynamics of asset prices among boundedly rational agents," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 150-159.
  31. Gerunov, Anton, 2014. "Критичен Преглед На Основните Подходи За Моделиране На Икономическите Очаквания
    [A Critical Review of Major Approaches for Modeling Economic Expectations]
    ," MPRA Paper 68797, University Library of Munich, Germany.
  32. 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.
  33. Serena Brianzoni & Roy Cerqueti & Elisabetta Michetti, 2010. "A Dynamic Stochastic Model of Asset Pricing with Heterogeneous Beliefs," Computational Economics, Society for Computational Economics, vol. 35(2), pages 165-188, February.
  34. Brock,W.A. & Hommes,C.H., 2002. "Heterogeneous beliefs and routes to complex dynamics in asset pricing models with price contingent contracts," Working papers 3, Wisconsin Madison - Social Systems.
  35. Frank Westerhoff & Cristian Wieland, . "Spill-over dynamics of central bank interventions," Modeling, Computing, and Mastering Complexity 2003 21, Society for Computational Economics.
  36. 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.
  37. Stefan Reitz & Frank Westerhoff, 2007. "Commodity price cycles and heterogeneous speculators: a STAR–GARCH model," Empirical Economics, Springer, vol. 33(2), pages 231-244, September.
  38. 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.
  39. Kaijian He & Kin Keung Lai & Guocheng Xiang, 2012. "Portfolio Value at Risk Estimate for Crude Oil Markets: A Multivariate Wavelet Denoising Approach," Energies, MDPI, Open Access Journal, vol. 5(4), pages 1018, April.
  40. Xue-Zhong He & Youwei Li, 2005. "Long Memory, Heterogeneity and Trend Chasing," Research Paper Series 148, Quantitative Finance Research Centre, University of Technology, Sydney.
  41. Frank Westerhoff & Cristian Wieland, . "Exchange rate dynamics, central bank interventions and chaos control methods," Modeling, Computing, and Mastering Complexity 2003 22, Society for Computational Economics.
  42. George A. Waters, 2011. "Endogenous Rational Bubbles," Working Paper Series 20111003, Illinois State University, Department of Economics.
  43. Hommes, Cars & Huang, Hai & Wang, Duo, 2005. "A robust rational route to randomness in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 29(6), pages 1043-1072, June.
  44. Reitz, Stefan, 2006. "On the predictive content of technical analysis," The North American Journal of Economics and Finance, Elsevier, vol. 17(2), pages 121-137, August.
  45. Carl Chiarella & Tony He, 2002. "An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies," Computing in Economics and Finance 2002 135, Society for Computational Economics.
  46. 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.
  47. Recchioni, Maria Cristina & Tedeschi, Gabriele & Berardi, Simone, 2014. "Bank's strategies during the financial crisis," FinMaP-Working Papers 25, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  48. Kim, Min Jae & Kim, Sehyun & Jo, Yong Hwan & Kim, Soo Yong, 2011. "Dependence structure of the commodity and stock markets, and relevant multi-spread strategy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3842-3854.
  49. 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.
  50. Diks, Cees & van der Weide, Roy, 2005. "Herding, a-synchronous updating and heterogeneity in memory in a CBS," Journal of Economic Dynamics and Control, Elsevier, vol. 29(4), pages 741-763, April.
  51. Chiarella, Carl & Gao, Shenhuai, 2004. "The value of the S&P 500--A macro view of the stock market adjustment process," Global Finance Journal, Elsevier, vol. 15(2), pages 171-196, August.
  52. Witte, Björn-Christopher, 2012. "Fund managers - Why the best might be the worst: On the evolutionary vigor of risk-seeking behavior," Economics Discussion Papers 2012-20, Kiel Institute for the World Economy (IfW).
  53. He, Xue-Zhong & Li, Youwei, 2015. "Testing of a market fraction model and power-law behaviour in the DAX 30," Journal of Empirical Finance, Elsevier, vol. 31(C), pages 1-17.
  54. Stefan Reitz & Frank Westerhoff, 2004. "Target Zone Interventions and Coordination of Expectations," Computing in Economics and Finance 2004 11, Society for Computational Economics.
  55. C. Chiarella & X-Z. He, 2001. "Asset price and wealth dynamics under heterogeneous expectations," Quantitative Finance, Taylor & Francis Journals, vol. 1(5), pages 509-526.
  56. Hommes, C.H. & Huang, H. & Wang, D., 2002. "A Robust Rational Route to in a Simple Asset Pricing Model," CeNDEF Working Papers 02-08, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  57. Frank Westerhoff, 2004. "The effectiveness of Keynes-Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach," Computing in Economics and Finance 2004 14, Society for Computational Economics.
  58. Chang, Sheng-Kai, 2007. "A simple asset pricing model with social interactions and heterogeneous beliefs," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1300-1325, April.
  59. Manzan, S. & Westerhoff, F., 2002. "Representativeness of News and Exchange Rate Dynamics," CeNDEF Working Papers 02-13, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  60. Chiarella, Carl & Dieci, Roberto & He, Xue-Zhong, 2007. "Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework," Journal of Economic Behavior & Organization, Elsevier, vol. 62(3), pages 408-427, March.
  61. Xue-Zhong He & Youwei Li, 2008. "Heterogeneity, convergence, and autocorrelations," Quantitative Finance, Taylor & Francis Journals, vol. 8(1), pages 59-79.
  62. Westerhoff, Frank H., 2003. "Central bank intervention and feedback traders," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(5), pages 419-427, December.
  63. Lisa Borland & Jean-Philippe Bouchaud, 2005. "On a multi-timescale statistical feedback model for volatility fluctuations," Science & Finance (CFM) working paper archive 500059, Science & Finance, Capital Fund Management.
  64. Westerhoff, Frank H., 2004. "Multiasset Market Dynamics," Macroeconomic Dynamics, Cambridge University Press, vol. 8(05), pages 596-616, November.
  65. Bekiros, Stelios D., 2015. "Heuristic learning in intraday trading under uncertainty," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 34-49.
  66. 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.
  67. Recchioni, Maria Cristina & Tedeschi, Gabriele & Gallegati, Mauro, 2014. "A calibration procedure for analyzing stock price dynamics in an agent-based framework," FinMaP-Working Papers 26, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  68. Sornette, Didier & Zhou, Wei-Xing, 2006. "Importance of positive feedbacks and overconfidence in a self-fulfilling Ising model of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(2), pages 704-726.
  69. Witte, Björn-Christopher, 2011. "Removing systematic patterns in returns in a financial market model by artificially intelligent traders," BERG Working Paper Series 82, Bamberg University, Bamberg Economic Research Group.
  70. 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.
  71. Lim, Kyuseong & Kim, Min Jae & Kim, Sehyun & Kim, Soo Yong, 2014. "Statistical properties of the stock and credit market: RMT and network topology," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 407(C), pages 66-75.
  72. Xue-Zhong He & Youwei Li, 2015. "The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30," Research Paper Series 364, Quantitative Finance Research Centre, University of Technology, Sydney.
  73. 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.
  74. 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.
  75. Gaunersdorfer, A. & Hommes, C.H., 2000. "A Nonlinear Structural Model for Volatility Clustering," CeNDEF Working Papers 00-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  76. Youwei Li & Xue-Zhong (Tony) He, 2005. "Heterogeneity, Profitability and Autocorrelations," Computing in Economics and Finance 2005 244, Society for Computational Economics.
  77. Oscar Bajo-Rubio & Simón Sosvilla-Rivero & Fernando Fernández-Rodríguez, . "Non-Linear Forecasting Methods: Some Applications to the Analysis of Financial Series," Working Papers 2002-01, FEDEA.
  78. De Grauwe, Paul & Grimaldi, Marianna, 2004. "Exchange Rate Puzzles: A Tale of Switching Attractors," Working Paper Series 163, Sveriges Riksbank (Central Bank of Sweden).
  79. Kyrtsou, Catherine, 2008. "Re-examining the sources of heteroskedasticity: The paradigm of noisy chaotic models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(27), pages 6785-6789.
  80. Turvey, Calum G., 2001. "Random Walks And Fractal Structures In Agricultural Commodity Futures Prices," Working Papers 34151, University of Guelph, Department of Food, Agricultural and Resource Economics.
  81. Alvarez-Ramirez, Jose & Fernandez-Anaya, Guillermo & Ibarra-Valdez, Carlos, 2004. "Some issues on the stability of trading based on technical analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 337(3), pages 609-624.
  82. Yu, Tongkui & Li, Honggang, 2008. "Dynamic Regimes of a Multi-agent Stock Market Model," MPRA Paper 14339, University Library of Munich, Germany.
  83. Chia-Hsuan Yeh & Chun-Yi Yang, 2013. "Do price limits hurt the market?," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 8(1), pages 125-153, April.
  84. Matthieu Wyart & Jean-Philippe Bouchaud, 2003. "Self-referential behaviour, overreaction and conventions in financial markets," Science & Finance (CFM) working paper archive 500020, Science & Finance, Capital Fund Management.
  85. W.A. Brock, C.H. Hommes and F.O.O. Wagener, 2001. "Evolutionary dynamics in financial markets with many trader types," Computing in Economics and Finance 2001 119, Society for Computational Economics.
  86. Frank H. Westerhoff, 2006. "Technical Analysis Based On Price-Volume Signals And The Power Of Trading Breaks," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(02), pages 227-244.
  87. Witte, Björn-Christopher, 2012. "Fund managers - Why the best might be the worst: On the evolutionary vigor of risk-seeking behavior," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy (IfW), vol. 6, pages 1-29.
  88. Witte, Björn-Christopher, 2011. "Fund managers - why the best might be the worst: On the evolutionary vigor of risk-seeking behavior," BERG Working Paper Series 81, Bamberg University, Bamberg Economic Research Group.
  89. Oet, Mikhail V. & Dooley, John & Gramlich, Dieter & Sarlin, Peter & Ong, Stephen J., 2015. "Evaluating the Information Value for Measures of Systemic Conditions," Working Paper 1513, Federal Reserve Bank of Cleveland.
  90. Park, Beum-Jo, 2011. "Asymmetric herding as a source of asymmetric return volatility," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2657-2665, October.
  91. Carl Chiarella & Xue-Zhong He & Paolo Pellizzari, 2009. "A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market," Research Paper Series 251, Quantitative Finance Research Centre, University of Technology, Sydney.
  92. Dieter Hendricks & Tim Gebbie & Diane Wilcox, 2015. "Detecting intraday financial market states using temporal clustering," Papers 1508.04900, arXiv.org, revised Mar 2016.
  93. Author Miloslav, 2001. "Bifurcation Routes in Financial Markets," Finance 0109001, EconWPA.
  94. Cars Hommes, 2005. "Heterogeneous Agent Models: Two Simple Case Studies," Tinbergen Institute Discussion Papers 05-055/1, Tinbergen Institute.
  95. 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.
  96. Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2008. "Evolutionary Finance," Swiss Finance Institute Research Paper Series 08-14, Swiss Finance Institute.
  97. Jacques Peeperkorn & Yudhvir Seetharam, 2016. "A learning-augmented approach to pricing risk in South Africa," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 6(1), pages 117-139, April.
  98. S. Borovkova & H. Dehling & J. Renkema & H. Tulleken, 2003. "A Potential-Field Approach to Financial Time Series Modelling," Computational Economics, Society for Computational Economics, vol. 22(2), pages 139-161, October.
  99. D. Sornette, 2014. "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models," Papers 1404.0243, arXiv.org.
  100. Westerhoff, Frank & Wieland, Cristian, 2010. "A behavioral cobweb-like commodity market model with heterogeneous speculators," Economic Modelling, Elsevier, vol. 27(5), pages 1136-1143, September.
  101. Troy Tassier, 2013. "Handbook of Research on Complexity, by J. Barkley Rosser, Jr. and Edward Elgar," Eastern Economic Journal, Palgrave Macmillan, vol. 39(1), pages 132-133.
  102. 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.
  103. Stefan Reitz, 2005. "Central Bank Intervention and Heterogeneous Exchange Rate Expectations: Evidence from the Daily DEM/US-Dollar Exchange Rate," Open Economies Review, Springer, vol. 16(1), pages 33-50, January.
  104. Westerhoff, Frank H., 2004. "Greed, fear and stock market dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 343(C), pages 635-642.
  105. Antonio Doria, Francisco, 2011. "J.B. Rosser Jr. , Handbook of Research on Complexity, Edward Elgar, Cheltenham, UK--Northampton, MA, USA (2009) 436 + viii pp., index, ISBN 978 1 84542 089 5 (cased)," Journal of Economic Behavior & Organization, Elsevier, vol. 78(1-2), pages 196-204, April.
  106. Parke, William R. & Waters, George A., 2007. "An evolutionary game theory explanation of ARCH effects," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2234-2262, July.
  107. Wei-Xing Zhou & Guo-Hua Mu & Si-Wei Chen & Didier Sornette, . "Strategies used as Spectroscopy of Financial Markets Reveal New Stylized Facts," Working Papers ETH-RC-11-005, ETH Zurich, Chair of Systems Design.
  108. Huang, Weihong & Chen, Zhenxi, 2014. "Modeling regional linkage of financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 99(C), pages 18-31.
  109. Fabio Dercole & Davide Radi, 2014. "Does the "uptick rule" stabilize the stock market? Insights from Adaptive Rational Equilibrium Dynamics," Papers 1405.7747, arXiv.org.
  110. Hommes, C.H., 2001. "Modeling the stylized facts in finance through simple nonlinear adaptive systems," CeNDEF Working Papers 01-06, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  111. Colin Fyfe & John Paul Marney & Heather Tarbert, 2005. "Risk adjusted returns from technical trading: a genetic programming approach," Applied Financial Economics, Taylor & Francis Journals, vol. 15(15), pages 1073-1077.
  112. Fabrizio Mattesini, 2003. "Financial Intermediation as a Source of Aggregate Instability," CEIS Research Paper 35, Tor Vergata University, CEIS.
  113. Chang Sheng-Kai, 2014. "Herd behavior, bubbles and social interactions in financial markets," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(1), pages 89-101, February.
  114. Massimo Egidi, 2014. "The economics of wishful thinking and the adventures of rationality," Mind & Society- Cognitive Studies in Economics and Social Sciences, Springer;Fondazione Rosselli, vol. 13(1), pages 9-27, June.
  115. Dibeh, Ghassan, 2005. "Speculative dynamics in a time-delay model of asset prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(1), pages 199-208.
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