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ArticleFat tails and volatility clustering in experimental asset markets

Michael Kirchler2007

Article2007

Fat tails and volatility clustering in experimental asset markets

Michael Kirchler · Jürgen Huber

71 citations·0/0 files stored·Journal of Economic Dynamics and Control

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Complex Systems and Time Series Analysis Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1985Continuous Auctions and Insider Trading 2007z-Tree: Zurich toolbox for ready-made economic experiments 1980On the Impossibility of Informationally Efficient Markets 1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 1980On the Impossibility of Informationally Efficient Markets 2001Empirical properties of asset returns: stylized facts and statistical issues 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices

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2005Waiting times between orders and trades in double-auction markets 2021Structural Clustering of Volatility Regimes for Dynamic Trading Strategies 2020Intertemporal asset pricing with bitcoin

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Year2007

Typearticle

Published2007-02-27

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations71

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

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doi10.1016/j.jedc.2007.01.009

openalex_workW2021565296

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