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Criticality and market efficiency in a simple realistic model of the stock market
13 references·1 citing·46 second hop
Criticality and market efficiency in a simple realistic model of the stock market (2003)Criticality and market efficiency in a si…The $-game (2003)The $-gameStylized facts of financial markets and market crashes in Minority Games (2001)Stylized facts of financial m…Market mechanism and expectations in minority and majority games (2001)Market mechanism and expectat…From Minority Games to real markets (2001)From Minority Games to real m…An Introduction to High-Frequency Finance (2001)An Introduction to High-Frequ…Statistical Mechanics of Systems with Heterogeneous Agents: Minority Games (2000)Statistical Mechanics of Syst…Modeling market mechanism with minority game (2000)Modeling market mechanism wit…Economic fluctuations and anomalous diffusion (2000)Economic fluctuations and ano…Toward a theory of marginally efficient markets (1999)Toward a theory of marginally…Physicists attempt to scale the ivory towers of finance (1999)Physicists attempt to scale t…Finite-size effects in Monte Carlo simulations of two stock market models (1999)Finite-size effects in Monte …Experience-weighted Attraction Learning in Normal Form Games (1999)Experience-weighted Attractio…Emergence of cooperation and organization in an evolutionary game (1997)Emergence of cooperation and …Statistical mechanics of socio-economic systems with heterogeneous agents (2006)Statistical mechanics of soci…The Variation of Certain Speculative Prices (1963)A long memory property of stock market returns and a new model (1993)The Econometrics of Financial Markets (1997)Quantifying stock-price response to demand fluctuations (2002)Common scaling patterns in intertrade times of U. S. stocks (2004)Role of activity in human dynamics (2008)The Selfish Gene (1976)Noise Trader Risk in Financial Markets (1990)Models of Bounded Rationality (1997)Exact solution of a modified El Farol's bar problem: Efficiency and the role of market impact (2000)Price fluctuations from the order book perspective—empirical facts and a simple model (2001)The Theory of Learning in Games (1998)Constraints-induced emergence of functional novelty in complex neurobiological systems: a basis for creativity in sport. (2011)Evolutionary Game Theory (2011)The Economy as an Evolving Complex System II (2018)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)More statistical properties of order books and price impact (2003)Agent-based models of financial markets (2007)Physics and financial economics (1776–2014): puzzles, Ising and agent-based models (2014)Über die Statistik verketteter Vorgänge (1923)Inductive Reasoning and Bounded Rationality (1994)Chapter 24 Agent-based Computational Finance (2006)Prisoner’s dilemma game model Based on historical strategy information (2023)ON THE LAW OF EFFECT 1 (1970)Discrete choice analysis: Theory and application to travel demand (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Predicting How People Play Games: Reinforcement Learning in Experimental Games with Unique, Mixed Strategy Equilibria (1998)Constructivist and Ecological Rationality in Economics (2003)“Economic man” in cross-cultural perspective: Behavioral experiments in 15 small-scale societies (2005)Computational Finance (1999)Introduction to Econophysics (1999)Introduction to Econophysics (1999)Application of multifractal measures to Tehran price index (2005)Emergence of long memory in stock volatility from a modified Mike-Farmer model (2009)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Price fluctuations, market activity and trading volume (2001)ECONOMIC NETWORKS: WHAT DO WE KNOW AND WHAT DO WE NEED TO KNOW? (2009)The Econometrics of Financial Markets (2012)Scaling and criticality in a stochastic multi-agent model of a financial market (1999)Multi-agent-based Order Book Model of financial markets (2006)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Microstructure noise in the continuous case: The pre-averaging approach (2008)Realized kernels in practice: trades and quotes (2009)
this work references cited by second hop

References

  • 1999Experience-weighted Attraction Learning in Normal Form Games1,487 cited
  • 2001An Introduction to High-Frequency Finance956 cited
  • 1997Emergence of cooperation and organization in an evolutionary game924 cited
  • 2000Economic fluctuations and anomalous diffusion265 cited
  • 2000Statistical Mechanics of Systems with Heterogeneous Agents: Minority Games239 cited
  • 1999Toward a theory of marginally efficient markets193 cited
  • 2000Modeling market mechanism with minority game191 cited
  • 2001Stylized facts of financial markets and market crashes in Minority Games162 cited
  • 1999Physicists attempt to scale the ivory towers of finance138 cited
  • 2001From Minority Games to real markets132 cited
  • 2003The $-game100 cited
  • 2001Market mechanism and expectations in minority and majority games88 cited
  • 1999Finite-size effects in Monte Carlo simulations of two stock market models84 cited

Cited by

  • 2006Statistical mechanics of socio-economic systems with heterogeneous agents68 cited

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