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A Dynamic Structural Model for Stock Return Volatility and Trading Volume

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Cited by:

  1. C. H. Hommes, 2001. "Financial markets as nonlinear adaptive evolutionary systems," Quantitative Finance, Taylor & Francis Journals, vol. 1(1), pages 149-167.
  2. Fredj Jawadi & Wael Louhichi & Abdoulkarim Idi Cheffou & Hachmi Ben Ameur, 2019. "Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model," Annals of Operations Research, Springer, vol. 281(1), pages 275-295, October.
  3. Aßmuth, Pascal, 2015. "Stock price related financial fragility and growth patterns," Center for Mathematical Economics Working Papers 539, Center for Mathematical Economics, Bielefeld University.
  4. Kirchler, Michael & Huber, Jurgen, 2007. "Fat tails and volatility clustering in experimental asset markets," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1844-1874, June.
  5. Iori, Giulia, 2002. "A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions," Journal of Economic Behavior & Organization, Elsevier, vol. 49(2), pages 269-285, October.
  6. Tolga Omay & Aysegul Corakci & Esra Hasdemir, 2021. "High Persistence and Nonlinear Behavior in Financial Variables: A More Powerful Unit Root Testing in the ESTAR Framework," Mathematics, MDPI, vol. 9(20), pages 1-21, October.
  7. Emilio Espino & Thomas Hintermaier, 2009. "Asset trading volume in a production economy," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 39(2), pages 231-258, May.
  8. Victor Olkhov, 2021. "Three Remarks On Asset Pricing," Papers 2105.13903, arXiv.org, revised Jan 2024.
  9. LeBaron, Blake, 2001. "Evolution And Time Horizons In An Agent-Based Stock Market," Macroeconomic Dynamics, Cambridge University Press, vol. 5(02), pages 225-254, April.
  10. William A. Brock & Cars H. Hommes, 1997. "A Rational Route to Randomness," Econometrica, Econometric Society, vol. 65(5), pages 1059-1096, September.
  11. Jones, Charles M. & Lamont, Owen & Lumsdaine, Robin L., 1998. "Macroeconomic news and bond market volatility," Journal of Financial Economics, Elsevier, vol. 47(3), pages 315-337, March.
  12. Bronka Rzepkowski, 2002. "Heterogeneous expectations, currency options and the euro/dollar," Quantitative Finance, Taylor & Francis Journals, vol. 2(2), pages 147-157.
  13. Goldbaum, David & Mizrach, Bruce, 2008. "Estimating the intensity of choice in a dynamic mutual fund allocation decision," Journal of Economic Dynamics and Control, Elsevier, vol. 32(12), pages 3866-3876, December.
  14. Kenneth L. Judd & Felix Kubler & Karl Schmedders, 2003. "Asset Trading Volume with Dynamically Complete Markets and Heterogeneous Agents," Journal of Finance, American Finance Association, vol. 58(5), pages 2203-2217, October.
  15. Jing Yang, 1999. "Heterogeneous Beliefs, Intelligent Agents, and Allocative Efficiency in an Artificial Stock Market," Computing in Economics and Finance 1999 612, Society for Computational Economics.
  16. Chiarella, Carl & He, Xue-Zhong & Wang, Duo, 2006. "A behavioral asset pricing model with a time-varying second moment," Chaos, Solitons & Fractals, Elsevier, vol. 29(3), pages 535-555.
  17. Olkhov, Victor, 2020. "Volatility Depend on Market Trades and Macro Theory," MPRA Paper 102434, University Library of Munich, Germany.
  18. 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.
  19. Ching-Chun Wei, 2009. "An Empirical Analysis of the Taiwan Institutional Trading Volume Volatility Spillover on Stock Market Index Return," Economics Bulletin, AccessEcon, vol. 29(2), pages 1264-1275.
  20. Wu-Jen Chuang & Liang-Yuh Ou-Yang & Wen-Chen Lo, 2009. "Nonlinear Market Dynamics Between Stock Returns And Trading Volume: Empirical Evidences From Asian Stock Markets," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice (1954-2015), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 56, pages 621-634, November.
  21. 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.
  22. Brock, W.A. & Hommes, C.H., 1997. "Models of Compelxity in Economics and Finance," Working papers 9706, Wisconsin Madison - Social Systems.
  23. Granger, Clive W.J. & Machina, Mark J., 2006. "Structural attribution of observed volatility clustering," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 15-29.
  24. 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.
  25. Huang, Weihong & Chen, Zhenxi, 2020. "Modelling contagion of financial crises," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  26. 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.
  27. Xu, Xiaojie, 2014. "Price Discovery in U.S. Corn Cash and Futures Markets: The Role of Cash Market Selection," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 169809, Agricultural and Applied Economics Association.
  28. Zhenxi Chen, 2020. "Regional financial market bloc and spillover of the financial crisis: A heterogeneous agents approach," Manchester School, University of Manchester, vol. 88(2), pages 262-281, March.
  29. Henryk Gurgul & Roland Mestel & Tomasz Wojtowicz, 2007. "Distribution of volume on the American stock market," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 1, pages 143-163.
  30. LeBaron, Blake & Arthur, W. Brian & Palmer, Richard, 1999. "Time series properties of an artificial stock market," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1487-1516, September.
  31. Ron Bird & Lorenzo Casavecchia & Paolo Pellizzari & Paul Woolley, 2011. "The impact on the pricing process of costly active management and performance chasing clients," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 6(1), pages 61-82, May.
  32. Hommes, C.H. & Wagener, F.O.O., 2008. "Complex evolutionary systems in behavioral finance," CeNDEF Working Papers 08-05, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  33. Weihong HUANG & Zhenxi CHEN, 2012. "Regional Financial Markets With Common Currency," Economic Growth Centre Working Paper Series 1210, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
  34. Lars Peter Hansen & Thomas J Sargent, 2014. "Robust Permanent Income and Pricing," World Scientific Book Chapters, in: UNCERTAINTY WITHIN ECONOMIC MODELS, chapter 3, pages 33-81, World Scientific Publishing Co. Pte. Ltd..
  35. Xianfang Su & Huiming Zhu & Xinxia Yang, 2019. "Heterogeneous Causal Relationships between Spot and Futures Oil Prices: Evidence from Quantile Causality Analysis," Sustainability, MDPI, vol. 11(5), pages 1-17, March.
  36. 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.
  37. J. Doyne Farmer & John Geanakoplos, 2008. "The virtues and vices of equilibrium and the future of financial economics," Papers 0803.2996, arXiv.org.
  38. Brock,W.A. & Hommes,C.H., 2001. "Evolutionary dynamics in financial markets with many trader types," Working papers 7, Wisconsin Madison - Social Systems.
  39. Thomas H. Noe & Michael J. Rebello & Jun Wang, 2006. "The Evolution of Security Designs," Journal of Finance, American Finance Association, vol. 61(5), pages 2103-2135, October.
  40. Victor Olkhov, 2022. "Market-Based Asset Price Probability," Papers 2205.07256, arXiv.org, revised Feb 2024.
  41. 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.
  42. Cuadro-Sáez, Lucía & Moreno, Manuel, 2007. "GARCH modeling of robust market returns," Kiel Advanced Studies Working Papers 440, Kiel Institute for the World Economy (IfW Kiel).
  43. Olkhov, Victor, 2020. "Price, Volatility and the Second-Order Economic Theory," MPRA Paper 102767, University Library of Munich, Germany.
  44. Youwei Li & Xue-Zhong He, 2005. "Long Memory, Heterogeneity, and Trend Chasing," Computing in Economics and Finance 2005 113, Society for Computational Economics.
  45. Brock, William A. & Hommes, Cars H. & Wagener, Florian O. O., 2005. "Evolutionary dynamics in markets with many trader types," Journal of Mathematical Economics, Elsevier, vol. 41(1-2), pages 7-42, February.
  46. 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.
  47. Bohl, Martin T. & Henke, Harald, 2003. "Trading volume and stock market volatility: The Polish case," International Review of Financial Analysis, Elsevier, vol. 12(5), pages 513-525.
  48. Mordecai Kurz, "undated". "Endogenous Uncertainty: A Unified View of Market Volatility," Working Papers 97027, Stanford University, Department of Economics.
  49. Karlis, Alexandros & Galanis, Girogos & Terovitis, Spyridon & Turner, Matthew, 2017. "Heterogeneity and Clustering of Defaults," Economic Research Papers 270011, University of Warwick - Department of Economics.
  50. David Goldbaum, 2003. "Profitable technical trading rules as a source of price instability," Quantitative Finance, Taylor & Francis Journals, vol. 3(3), pages 220-229.
  51. Xu Xiaojie, 2018. "Linear and Nonlinear Causality between Corn Cash and Futures Prices," Journal of Agricultural & Food Industrial Organization, De Gruyter, vol. 16(2), pages 1-16, November.
  52. 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.
  53. 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.
  54. Christian Peretti, 2007. "Long Memory and Hysteresis," Springer Books, in: Gilles Teyssière & Alan P. Kirman (ed.), Long Memory in Economics, pages 363-389, Springer.
  55. Sarantis, Nicholas, 2001. "Nonlinearities, cyclical behaviour and predictability in stock markets: international evidence," International Journal of Forecasting, Elsevier, vol. 17(3), pages 459-482.
  56. 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.
  57. 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.
  58. Kelly David L. & Steigerwald Douglas G, 2004. "Private Information and High-Frequency Stochastic Volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(1), pages 1-30, March.
  59. Kim, Sei-wan & Lee, Kihoon & Nam, Kiseok, 2010. "The relationship between CO2 emissions and economic growth: The case of Korea with nonlinear evidence," Energy Policy, Elsevier, vol. 38(10), pages 5938-5946, October.
  60. Xue, Yi & Gençay, Ramazan, 2012. "Trading frequency and volatility clustering," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 760-773.
  61. Brandt, M.W.Michael W. & Zeng, Qi & Zhang, Lu, 2004. "Equilibrium stock return dynamics under alternative rules of learning about hidden states," Journal of Economic Dynamics and Control, Elsevier, vol. 28(10), pages 1925-1954, September.
  62. Bekiros, Stelios & Shahzad, Syed Jawad Hussain & Arreola-Hernandez, Jose & Ur Rehman, Mobeen, 2018. "Directional predictability and time-varying spillovers between stock markets and economic cycles," Economic Modelling, Elsevier, vol. 69(C), pages 301-312.
  63. David Webb & Andrew Pettigrew, 1999. "The Temporal Development of Strategy: Patterns in the U.K. Insurance Industry," Organization Science, INFORMS, vol. 10(5), pages 601-621, October.
  64. Xue-Zhong He & Youwei Li, 2008. "Heterogeneity, convergence, and autocorrelations," Quantitative Finance, Taylor & Francis Journals, vol. 8(1), pages 59-79.
  65. Nikitopoulos, Christina Sklibosios & Thomas, Alice Carole & Wang, Jianxin, 2023. "The economic impact of daily volatility persistence on energy markets," Journal of Commodity Markets, Elsevier, vol. 30(C).
  66. Shively, Philip A., 2003. "The nonlinear dynamics of stock prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(3), pages 505-517.
  67. Wang, Jianxin, 2022. "Market distraction and near-zero daily volatility persistence," International Review of Financial Analysis, Elsevier, vol. 80(C).
  68. 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.
  69. Mordecai Kurz & Maurizio Motolese, "undated". "Endogenous Uncertainty and Market Volatility," Working Papers 99005, Stanford University, Department of Economics.
  70. ap Gwilym, Rhys, 2009. "The Monetary Policy Implications of Behavioral Asset Bubbles," Cardiff Economics Working Papers E2009/18, Cardiff University, Cardiff Business School, Economics Section.
  71. Chung, Yeimin & Heshmati, Almas, 2013. "Measurement of Environmentally Sensitive Productivity Growth in Korean Industries," IZA Discussion Papers 7235, Institute of Labor Economics (IZA).
  72. Blaurock, Ivonne & Schmitt, Noemi & Westerhoff, Frank, 2018. "Market entry waves and volatility outbursts in stock markets," Journal of Economic Behavior & Organization, Elsevier, vol. 153(C), pages 19-37.
  73. Youssefmir, Michael & Huberman, Bernardo A., 1997. "Clustered volatility in multiagent dynamics," Journal of Economic Behavior & Organization, Elsevier, vol. 32(1), pages 101-118, January.
  74. 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.
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  76. Baak, Saang Joon, 1999. "Tests for bounded rationality with a linear dynamic model distorted by heterogeneous expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1517-1543, September.
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  78. Rhys ap Gwilym, 2013. "The Monetary Policy Implications of Behavioral Asset Bubbles," Southern Economic Journal, Southern Economic Association, vol. 80(1), pages 252-270, July.
  79. 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.
  80. Kaijian He & Kin Keung Lai & Guocheng Xiang, 2012. "Portfolio Value at Risk Estimate for Crude Oil Markets: A Multivariate Wavelet Denoising Approach," Energies, MDPI, vol. 5(4), pages 1-26, April.
  81. Huang, Weihong & Chen, Zhenxi, 2014. "Modeling regional linkage of financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 99(C), pages 18-31.
  82. A. K. Karlis & G. Galanis & S. Terovitis & M. S. Turner, 2021. "Heterogeneity and clustering of defaults," Quantitative Finance, Taylor & Francis Journals, vol. 21(9), pages 1533-1549, September.
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  84. 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.
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  89. 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.
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  91. 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.
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  93. Mordecai Kurz & Hehui Jin & Maurizio Motolese, 2005. "Determinants of stock market volatility and risk premia," Annals of Finance, Springer, vol. 1(2), pages 109-147, July.
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  95. Yamani, Ehab, 2023. "Return–volume nexus in financial markets: A survey of research," Research in International Business and Finance, Elsevier, vol. 65(C).
  96. Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1235-1274, August.
  97. Lee, Chien-Chiang & Zeng, Jhih-Hong, 2011. "Revisiting the relationship between spot and futures oil prices: Evidence from quantile cointegrating regression," Energy Economics, Elsevier, vol. 33(5), pages 924-935, September.
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  100. Cars Hommes, 2005. "Heterogeneous Agent Models: Two Simple Case Studies," Tinbergen Institute Discussion Papers 05-055/1, Tinbergen Institute.
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  130. 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.
  131. David Goldbaum, 2004. "On the Possibility of Informationally Efficient Markets: Part b," Working Papers Rutgers University, Newark 2004-011, Department of Economics, Rutgers University, Newark.
  132. Xiaojie Xu, 2018. "Cointegration and price discovery in US corn cash and futures markets," Empirical Economics, Springer, vol. 55(4), pages 1889-1923, December.
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  137. Rhys ap Gwilym, 2013. "The Monetary Policy Implications of Behavioral Asset Bubbles," Southern Economic Journal, John Wiley & Sons, vol. 80(1), pages 252-270, July.
  138. Connolly, Robert & Stivers, Chris, 2006. "Information content and other characteristics of the daily cross-sectional dispersion in stock returns," Journal of Empirical Finance, Elsevier, vol. 13(1), pages 79-112, January.
  139. Xue-Zhong He & Youwei Li, 2005. "Heterogeneity, Profitability and Autocorrelations," Research Paper Series 147, Quantitative Finance Research Centre, University of Technology, Sydney.
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