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Citations for "Asset Pricing Under Endogenous Expectation in an Artificial Stock Market"

by W. Brian Arthur & John H. Holland & Blake LeBaron & Richard Palmer & Paul Taylor

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  1. Branch, William A., 2002. "Local convergence properties of a cobweb model with rationally heterogeneous expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 27(1), pages 63-85, November.
  2. Bullard, James & Duffy, John, 2001. "Learning And Excess Volatility," Macroeconomic Dynamics, Cambridge University Press, vol. 5(02), pages 272-302, April.
  3. Ryuichi YAMAMOTO, 2005. "Evolution with Individual and Social Learning in an Agent-Based Stock Market," Computing in Economics and Finance 2005 228, Society for Computational Economics.
  4. J. Doyne Farmer & Andrew W. Lo, 1999. "Frontiers of Finance: Evolution and Efficient Markets," Working Papers 99-06-039, Santa Fe Institute.
  5. Klos, Tomas B., 1999. "Governance and matching," Research Report 99B41, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  6. William Brock & Cars Hommes & Florian Wagener, 2006. "More Hedging Instruments may destablize Markets," Tinbergen Institute Discussion Papers 06-080/1, Tinbergen Institute, revised 30 Apr 2008.
  7. Kenichi Matsumoto, . "Multi-Agent Model to Analyze CO2 Emissions Trading," Energy and Environmental Modeling 2007 24000037, EcoMod.
  8. Eric Ringhut & Stefan Kooths, 2003. "Modeling Expectations with GENEFER – an Artificial Intelligence Approach," Computational Economics, Society for Computational Economics, vol. 21(1), pages 173-194, February.
  9. Karolina Safarzyńska & Jeroen Bergh, 2010. "Evolutionary models in economics: a survey of methods and building blocks," Journal of Evolutionary Economics, Springer, vol. 20(3), pages 329-373, June.
  10. Jasmina Hasanhodzic & Andrew W. Lo & Emanuele Viola, 2009. "A Computational View of Market Efficiency," Papers 0908.4580, arXiv.org.
  11. Xavier Gabaix & Parameswaran Gopikrishnan & Vasiliki Plerou & H. Eugene Stanley, 2006. "Institutional Investors and Stock Market Volatility," The Quarterly Journal of Economics, Oxford University Press, vol. 121(2), pages 461-504.
  12. Weisbuch, G. & Kirman, A.P. & Herreiner, D., 1996. "Market Organisation," G.R.E.Q.A.M. 96a20, Universite Aix-Marseille III.
  13. John Duffy, 2004. "Agent-Based Models and Human Subject Experiments," Computational Economics 0412001, EconWPA.
  14. Alfarano, Simone & Lux, Thomas & Wagner, Friedrich, 2006. "Time-variation of higher moments in a financial market with heterogeneous agents: An analytical approach," Economics Working Papers 2006,16, Christian-Albrechts-University of Kiel, Department of Economics.
  15. Oliver Hein & Michael Schwind & Markus Spiwoks, 2008. "Frankfurt Artificial Stock Market: a microscopic stock market model with heterogeneous interacting agents in small-world communication networks," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 3(1), pages 59-71, June.
  16. Stefan Thurner & J. Doyne Farmer & John Geanakoplos, 2012. "Leverage causes fat tails and clustered volatility," Quantitative Finance, Taylor & Francis Journals, vol. 12(5), pages 695-707, February.
  17. 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.
  18. Thomas Schuster, 2003. "Meta-Communication and Market Dynamics. Reflexive Interactions of Financial Markets and the Mass Media," Finance 0307014, EconWPA.
  19. Tesfatsion, Leigh S., 1998. "Teaching Agent-Based Computational Economics to Graduate Students," Staff General Research Papers 1199, Iowa State University, Department of Economics.
  20. Chia-Hsuan Yeh, 2007. "The role of intelligence in time series properties," Computational Economics, Society for Computational Economics, vol. 30(2), pages 95-123, September.
  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. Thomas Lux, 2008. "Stochastic Behavioral Asset Pricing Models and the Stylized Facts," Working Papers wp08-03, Warwick Business School, Finance Group.
  23. Henrik Amilon, 2003. "Estimation of an Adaptive Stock Market Model with Heterogeneous Agents," Research Paper Series 107, Quantitative Finance Research Centre, University of Technology, Sydney.
  24. Taisei Kaizoji, 2003. "Speculative bubbles and fat tail phenomena in a heterogeneous agent model," Papers nlin/0312040, arXiv.org.
  25. Sonnemans, Joep & Hommes, Cars & Tuinstra, Jan & van de Velden, Henk, 2004. "The instability of a heterogeneous cobweb economy: a strategy experiment on expectation formation," Journal of Economic Behavior & Organization, Elsevier, vol. 54(4), pages 453-481, August.
  26. Shubik, Martin & Sudderth, William D., 2015. "From General Equilibrium to Schumpeter," Journal of Economic Dynamics and Control, Elsevier, vol. 61(C), pages 269-282.
  27. Eklund, Johan E, 2009. "One Share – One Vote: new evidence from the Nordic countries," Working Paper Series in Economics and Institutions of Innovation 168, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
  28. Brock,W.A. & Hommes,C.H., 1998. "Rational animal spirits," Working papers 23, Wisconsin Madison - Social Systems.
  29. Valentyn Panchenko & Sergiy Gerasymchuk & Oleg V. Pavlov, 2007. "Asset price dynamics with small world interactions under hetereogeneous beliefs," Working Papers 149, Department of Applied Mathematics, Università Ca' Foscari Venezia.
  30. Hommes, C.H., 2006. "Interacting agents in finance, entry written for the New Palgrave Dictionary of Economics, Second Edition, edited by L. Blume and S. Durlauf, Palgrave Macmillan, forthcoming 2006," CeNDEF Working Papers 06-01, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  31. Marco LiCalzi & Paolo Pellizzari, 2002. "Fundamentalists Clashing over the Book: A Study of Order-Driven Stock Markets," Computational Economics 0207001, EconWPA, revised 04 Mar 2003.
  32. Ken Steiglitz & Liadan I. O'Callaghan, . "Microsimulation of Markets and Endogenous Price Bubbles," Computing in Economics and Finance 1997 59, Society for Computational Economics.
  33. 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.
  34. Roberto Savona & Maxence Soumare & Jørgen Vitting Andersen, 2014. "Financial Symmetry and Moods in the Market," Documents de travail du Centre d'Economie de la Sorbonne 14030, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  35. Anufriev, Mikhail & Panchenko, Valentyn, 2009. "Asset prices, traders' behavior and market design," Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1073-1090, May.
  36. 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.
  37. Evstigneev, Igor V. & Hens, Thorsten & Schenk-Hoppé, Klaus Reiner, 2008. "Globally evolutionarily stable portfolio rules," Journal of Economic Theory, Elsevier, vol. 140(1), pages 197-228, May.
  38. Frank Ackerman, . "00-01 "Still Dead After All These Years: Interpreting the Failure of General Equilibrium Theory."," GDAE Working Papers 00-01, GDAE, Tufts University.
  39. 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.
  40. Harald A. Benink & Jose Luis Gordillo & Juan Pablo Pardo & Christopher R. Stephens, 2004. "A Study of Neo-Austrian Economics using an Artificial Stock Market," Finance 0411038, EconWPA.
  41. Shu-Heng Chen & Chia-Hsuan Yeh, 1999. "Evolving Traders and the Faculty of the Business School: A New Architecture of the Artificial Stock Market," Computing in Economics and Finance 1999 613, Society for Computational Economics.
  42. Sergio Da Silva, 2004. "International Finance, Levy Distributions, and the Econophysics of Exchange Rates," International Finance 0405018, EconWPA.
  43. Shareen Joshi & Jeffrey Parker & Mark A. Bedau, 1998. "Technical Trading Creates a Prisoner's Dilemma: Results from an Agent-Based Model," Research in Economics 98-12-115e, Santa Fe Institute.
  44. Lars J. Ravn-Jonsen, 2009. "Ecosystem Management a Management View," Working Papers 86/09, University of Southern Denmark, Department of Environmental and Business Economics.
  45. Xue-Zhong He & Youwei Li, 2005. "Long Memory, Heterogeneity and Trend Chasing," Research Paper Series 148, Quantitative Finance Research Centre, University of Technology, Sydney.
  46. 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.
  47. Cars Hommes & Thomas Lux, 2008. "Individual Expectations and Aggregate Behavior in Learning to Forecast Experiments," Kiel Working Papers 1466, Kiel Institute for the World Economy.
  48. Hendri Adriaens & Bas Donkers, 2004. "Extending the CAPM model," Computing in Economics and Finance 2004 204, Society for Computational Economics.
  49. Youwei Li & Xue-Zhong (Tony) He, 2005. "Heterogeneity, Profitability and Autocorrelations," Computing in Economics and Finance 2005 244, Society for Computational Economics.
  50. Brock, W.A. & Hommes, C.H., 1996. "Hetergeneous Beliefs and Routes to Chaos in a Simple Asset Pricing Model," Working papers 9621, Wisconsin Madison - Social Systems.
  51. Hommes, C.H. & Huang, H. & Wang, D., 2002. "A Robust Rational Route to in a Simple Asset Pricing Model (revised March 2004)," CeNDEF Working Papers 02-08, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  52. Skouras, Spyros, 2001. "Financial returns and efficiency as seen by an artificial technical analyst," Journal of Economic Dynamics and Control, Elsevier, vol. 25(1-2), pages 213-244, January.
  53. Hommes, C.H., 2007. "Complexity, Evolution and Learning: a simple story of heterogeneous expectations and some empirical and experimental validation," CeNDEF Working Papers 07-07, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  54. Gaunersdorfer, A. & Hommes, C.H., 2005. "A nonlinear structural model for volatility clustering," CeNDEF Working Papers 05-02, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  55. Marco Raberto & Silvano Cincotti & Sergio Focardi & Michele Marchesi, 2003. "Traders' Long-Run Wealth in an Artificial Financial Market," Computational Economics, Society for Computational Economics, vol. 22(2), pages 255-272, October.
  56. Ehsan Ahmed & Honggang Li & J. Barkley Rosser, 2006. "Nonlinear bubbles in Chinese Stock Markets in the 1990s," Eastern Economic Journal, Eastern Economic Association, vol. 32(1), pages 1-18, Winter.
  57. 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.
  58. Leigh Tesfatsion, 2002. "Agent-Based Computational Economics," Computational Economics 0203001, EconWPA, revised 15 Aug 2002.
  59. 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.
  60. Scott Moss, 1997. "Boundedly versus Procedurally Rational Expectations," Discussion Papers 97-30, Manchester Metropolitan University, Centre for Policy Modelling.
  61. Thomas Theobald, 2012. "Agent-based risk management - A regulatory approach to financial markets," IMK Working Paper 95-2012, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
  62. J. V. Andersen & S. Gluzman & D. Sornette, 1999. "Fundamental Framework for Technical Analysis," Papers cond-mat/9910047, arXiv.org.
  63. 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.
  64. 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.
  65. Laib, Fodil & Laib, M.S., 2007. "Some mathematical properties of the futures market platform," MPRA Paper 6126, University Library of Munich, Germany.
  66. Koppl, Roger G., 1996. "It is high time we take our ignorance more seriously," International Review of Financial Analysis, Elsevier, vol. 5(3), pages 259-272.
  67. 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.
  68. Sergiy Gerasymchuk, 2008. "Asset return and wealth dynamics with reference dependent preferences and heterogeneous beliefs," Working Papers 160, Department of Applied Mathematics, Università Ca' Foscari Venezia.
  69. Smith, Peter, 2004. "Reworking the Standard Model of Competitive Markets: The Role of Fuzzy Logic and Genetic Algorithms in Modelling Complex Non-Linear Economic System," General Discussion Papers 30569, University of Manchester, Institute for Development Policy and Management (IDPM).
  70. Lucia Milone & Paolo Pellizzari, 2009. "Mutual funds flows and the "Sheriff of Nottingham" effect," Working Papers 188, Department of Applied Mathematics, Università Ca' Foscari Venezia.
  71. 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;Society for Economic Science with Heterogeneous Interacting Agents, vol. 1(2), pages 189-214, November.
  72. Stefano Balbi & Carlo Giupponi, 2009. "Reviewing agent-based modelling of socio-ecosystems: a methodology for the analysis of climate change adaptation and sustainability," Working Papers 2009_15, Department of Economics, University of Venice "Ca' Foscari".
  73. 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.
  74. 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.
  75. Shareen Joshi & Mark A. Bedau, 1998. "An Explanation of Generic Behavior in an Evolving Financial Market," Research in Economics 98-12-114e, Santa Fe Institute.
  76. Andrew Lo & Nicholas Chan & Blake LeBaron & Tomaso Poggio, 1999. "Information Dissemination and Aggregation in Asset Markets with Simple Intelligent Traders," Computing in Economics and Finance 1999 653, Society for Computational Economics.
  77. Norman Ehrentreich, 2002. "The Santa Fe Artificial Stock Market Re-Examined - Suggested Corrections," Computational Economics 0209001, EconWPA.
  78. Alexandru Mandes, 2014. "Order Placement in a Continuous Double Auction Agent Based Model," MAGKS Papers on Economics 201443, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  79. Lux, Thomas, 2008. "Stochastic behavioral asset pricing models and the stylized facts," Kiel Working Papers 1426, Kiel Institute for the World Economy (IfW).
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