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Heterogeneous Expectations, Currency Options and the Euro / Dollar Exchange Rate
16 references·0 citing·41 second hop
Heterogeneous Expectations, Currency Options and the Euro / Dollar Exchange Rate (2001)Heterogeneous Expectations, Currency Opti…The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions (1998)The socio-economic dynamics o…Recovering probabilistic information from option markets: Tests of distributional assumptions (1996)Recovering probabilistic info…Currency forecasters are heterogeneous: confirmation and consequences (1996)Currency forecasters are hete…Herd Behaviour, Bubbles and Crashes (1995)Herd Behaviour, Bubbles and C…A Dynamic Structural Model for Stock Return Volatility and Trading Volume (1995)A Dynamic Structural Model fo…Ants, Rationality, and Recruitment (1993)Ants, Rationality, and Recrui…Bubbles and Volatility of Stock Prices: Effect of Mimetic Contagion (1991)Bubbles and Volatility of Sto…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Market Liquidity, Hedging, and Crashes (1990)Market Liquidity, Hedging, an…CALL OPTION VALUATION FOR DISCRETE NORMAL MIXTURES (1990)CALL OPTION VALUATION FOR DIS…Bulls, bears and market sheep (1990)Bulls, bears and market sheepThe Survival of Noise Traders in Financial Markets (1988)The Survival of Noise Traders…The statistical properties of daily foreign exchange rates: 1974–1983 (1988)The statistical properties of…The statistical distribution of exchange rates: Empirical evidence and economic implications (1987)The statistical distribution …Foreign currency option values (1983)Foreign currency option valuesThe Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)The Review of Economics and Statistics (1997)Agent-based computational finance: Suggested readings and early research (2000)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Chapter 24 Agent-based Computational Finance (2006)Stock returns and the weekend effect (1980)Day of the Week Effects and Asset Returns (1981)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A Class of Nonlinear Arch Models (1992)Stochastic volatility in asset prices estimation with simulated maximum likelihood (1994)A test for volatility spillover with application to exchange rates (2001)Theory of Rational Option Pricing (1973)Efficient Analytic Approximation of American Option Values (1987)Arbitrage Theory in Continuous Time (2004)Theory of rational option pricing (2005)Carry Trades and Global Foreign Exchange Volatility (2012)The Behavior of Stock-Market Prices (1965)Continuous Auctions and Insider Trading (1985)The Limits of Arbitrage (1995)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The Variation of Certain Speculative Prices (1963)The variation of certain speculative prices (1997)Behavioral Rationality and Heterogeneous Expectations in Complex Economic Systems (2013)Mean Reversion in Stock Prices: Evidence and Implications (1987)Herd Behavior and Investment (1988)VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS (2000)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Heterogeneous Agent Models in Economics and Finance (2005)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The spandrels of San Marco and the Panglossian paradigm: a critique of the adaptationist programme (1979)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Competing Technologies, Increasing Returns, and Lock-In by Historical Events (1989)Efficient Capital Markets and Martingales (1989)Limited market participation and volatility of asset prices (1993)Institutional Investors and Stock Market Volatility (2006)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1983Foreign currency option values1,078 cited
  • 1995Herd Behaviour, Bubbles and Crashes1,054 cited
  • 1993Ants, Rationality, and Recruitment986 cited
  • 1998The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions641 cited
  • 1990Bulls, bears and market sheep619 cited
  • 1990Market Liquidity, Hedging, and Crashes550 cited
  • 1988The Survival of Noise Traders in Financial Markets529 cited
  • 1988The statistical properties of daily foreign exchange rates: 1974–1983432 cited
  • 1987The statistical distribution of exchange rates: Empirical evidence and economic implications313 cited
  • 1995A Dynamic Structural Model for Stock Return Volatility and Trading Volume190 cited
  • 1990CALL OPTION VALUATION FOR DISCRETE NORMAL MIXTURES168 cited
  • 1991Bubbles and Volatility of Stock Prices: Effect of Mimetic Contagion163 cited
  • 1996Currency forecasters are heterogeneous: confirmation and consequences147 cited

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1996
Recovering probabilistic information from option markets: Tests of distributional assumptions
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