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APPLICATION OF FLOCKING MECHANISM TO THE MODELING OF STOCHASTIC VOLATILITY
16 references·3 citing·38 second hop
APPLICATION OF FLOCKING MECHANISM TO THE MODELING OF STOCHASTIC VOLATILITY (2012)APPLICATION OF FLOCKING MECHANISM TO THE …VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS (2000)VOLATILITY CLUSTERING IN FINA…Herd Behavior in Financial Markets (2000)Herd Behavior in Financial Ma…Derivatives in Financial Markets with Stochastic Volatility (2000)Derivatives in Financial Mark…Herding among Investment Newsletters: Theory and Evidence (1999)Herding among Investment News…The Case for Flexible Exchange Rates (1996)The Case for Flexible Exchang…Analyst Forecasts and Herding Behavior: (1994)Analyst Forecasts and Herding…A Model of Intertemporal Asset Prices Under Asymmetric Information (1993)A Model of Intertemporal Asse…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…A Simple Model of Herd Behavior (1992)A Simple Model of Herd Behavi…Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Stock Price Distributions wit…Herd Behavior and Investment (1988)Herd Behavior and InvestmentThe Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)Option Pricing when the Varia…On the aggregation of information in competitive markets (1980)On the aggregation of informa…The pricing of commodity contracts (1976)The pricing of commodity cont…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Option valuation and hedging in markets with a crunch (2017)Option valuation and hedging …Stochastic evolutionary differential games toward a systems theory of behavioral social dynamics (2016)Stochastic evolutionary diffe…A mathematical model for volatility flocking with a regime switching mechanism in a stock market (2015)A mathematical model for vola…Bank Runs, Deposit Insurance, and Liquidity (1983)Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis (2003)Effects on Financial Globalization on Developing Countries: Some Empirical Evidence (2004)Why Do Firms Imitate Each Other? (2006)The General Theory of Employment (1937)Network Externalities, Competition, and Compatibility (1985)Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers (1986)The Limits of Arbitrage (1995)A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets (1999)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)On the Impossibility of Informationally Efficient Markets (1980)Differences of Opinion Make a Horse Race (1993)Volume, Volatility, Price, and Profit When All Traders Are Above Average (1998)Theory of Rational Option Pricing (1973)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)Theory of rational option pricing (2005)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Competing Technologies, Increasing Returns, and Lock-In by Historical Events (1989)Investor Psychology and Asset Pricing (2001)Using Online Conversations to Study Word-of-Mouth Communication (2004)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)The Categorical Imperative: Securities Analysts and the Illegitimacy Discount (1999)
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References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1992A Simple Model of Herd Behavior6,511 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities4,161 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1988Herd Behavior and Investment2,815 cited
  • 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
  • 2000Herd Behavior in Financial Markets1,288 cited
  • 1980On the aggregation of information in competitive markets1,247 cited
  • 1996The Case for Flexible Exchange Rates1,098 cited
  • 1987Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application978 cited
  • 1994Analyst Forecasts and Herding Behavior:943 cited
  • 2000Derivatives in Financial Markets with Stochastic Volatility923 cited
  • 1999Herding among Investment Newsletters: Theory and Evidence759 cited
  • 1993A Model of Intertemporal Asset Prices Under Asymmetric Information714 cited
  • 2000

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VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
701 cited

Cited by

  • 2016Stochastic evolutionary differential games toward a systems theory of behavioral social dynamics142 cited
  • 2015A mathematical model for volatility flocking with a regime switching mechanism in a stock market24 cited
  • 2017Option valuation and hedging in markets with a crunch17 cited