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Agent-based Computational Finance
16 references·16 citing·36 second hopsampled
Agent-based Computational Finance (1989)Agent-based Computational FinanceThe Economy as an Evolving Complex System II (2018)The Economy as an Evolving Co…The variation of certain speculative prices (1997)The variation of certain spec…The Use of Knowledge in Society (1996)The Use of Knowledge in Socie…Stock Prices and Volume (1992)Stock Prices and VolumeNoise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Long Swings in the Dollar: Are They in the Data and Do Markets Know It? (1990)Long Swings in the Dollar: Ar…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns (1983)Stochastic Consumption, Risk …On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Essays in Positive Economics. (1954)Essays in Positive Economics.Uncertainty, Evolution, and Economic Theory (1950)Uncertainty, Evolution, and E…Théorie de la spéculation (1900)Théorie de la spéculationNegative bubbles and shocks in cryptocurrency markets (2016)Negative bubbles and shocks i…Introductory tutorial: Agent-based modeling and simulation (2014)Introductory tutorial: Agent-…Structural stochastic volatility in asset pricing dynamics: Estimation and model contest (2012)Structural stochastic volatil…Agent-based macroeconomics: A baseline model (2012)Agent-based macroeconomics: A…Agent-based economic models and econometrics (2012)Agent-based economic models a…A complex systems approach to constructing better models for managing financial markets and the economy (2012)A complex systems approach to…Econophysics review: II. Agent-based models (2011)Econophysics review: II. Agen…The heterogeneous expectations hypothesis: Some evidence from the lab (2010)The heterogeneous expectation…NEW DIRECTIONS FOR URBAN ECONOMIC MODELS OF LAND USE CHANGE: INCORPORATING SPATIAL DYNAMICS AND HETEROGENEITY (2010)NEW DIRECTIONS FOR URBAN ECON…Credit Money and Macroeconomic Instability in the Agent-based Model and Simulator Eurace (2010)Credit Money and Macroeconomi…Heterogeneity, Market Mechanisms, and Asset Price Dynamics (2009)Heterogeneity, Market Mechani…How Does Globalization Affect Regional Inequality within a Developing Country? Evidence from China (2006)How Does Globalization Affect…Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Chapter 23 Heterogeneous Agen…A dynamic analysis of moving average rules$ (2004)A dynamic analysis of moving …The contribution of tourism development to economic growth in the Korean economy (2003)The contribution of tourism d…Inward oriented and outward oriented trade strategies (1991)Inward oriented and outward o…Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)The General Theory of Employment, Interest and Money. (1936)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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)A Theory of the Term Structure of Interest Rates (1985)Efficient Capital Markets: II (1991)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Common risk factors in the returns on stocks and bonds (1993)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)The equity premium: A puzzle (1985)Economic Forces and the Stock Market (1986)The New Institutionalism: Organizational Factors in Political Life (1983)Economic Reform and the Process of Global Integration (1995)The Nature of Theory in Information Systems1 (2006)Comparative Economic Organization: The Analysis of Discrete Structural Alternatives (1991)A Dynamic Theory of Organizational Knowledge Creation (1994)The New Institutional Economics: Taking Stock, Looking Ahead (2000)Introduction: epistemic communities and international policy coordination (1992)Increasing Returns, Path Dependence, and the Study of Politics (2000)Beyond Markets and States: Polycentric Governance of Complex Economic Systems (2010)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)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)Users of the world, unite! The challenges and opportunities of Social Media (2009)
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References

  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1996The Use of Knowledge in Society6,434 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1950Uncertainty, Evolution, and Economic Theory4,005 cited
  • 1980On the Impossibility of Informationally Efficient Markets3,640 cited
  • 1954Essays in Positive Economics.2,999 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1900Théorie de la spéculation2,605 cited
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
  • 2018The Economy as an Evolving Complex System II2,313 cited
  • 1983Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns1,549 cited
  • 1992Stock Prices and Volume1,295 cited
  • 1990Long Swings in the Dollar: Are They in the Data and Do Markets Know It?

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Cited by

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  • 2016Negative bubbles and shocks in cryptocurrency markets508 cited
  • 2010The heterogeneous expectations hypothesis: Some evidence from the lab434 cited
  • 2011Econophysics review: II. Agent-based models258 cited
  • 2012Structural stochastic volatility in asset pricing dynamics: Estimation and model contest236 cited
  • 2012Agent-based economic models and econometrics222 cited
  • 2010NEW DIRECTIONS FOR URBAN ECONOMIC MODELS OF LAND USE CHANGE: INCORPORATING SPATIAL DYNAMICS AND HETEROGENEITY208 cited
  • 2009Heterogeneity, Market Mechanisms, and Asset Price Dynamics206 cited
  • 2006How Does Globalization Affect Regional Inequality within a Developing Country? Evidence from China189 cited
  • 2010Credit Money and Macroeconomic Instability in the Agent-based Model and Simulator Eurace175 cited
  • 2012Agent-based macroeconomics: A baseline model173 cited
  • 2014Introductory tutorial: Agent-based modeling and simulation172 cited
  • 1991Inward oriented and outward oriented trade strategies170 cited
  • 2004A dynamic analysis of moving average rules$167 cited
  • 2012A complex systems approach to constructing better models for managing financial markets and the economy161 cited