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Fat tails and volatility clustering in experimental asset markets
16 references·3 citing·25 second hop
Fat tails and volatility clustering in experimental asset markets (2007)Fat tails and volatility clustering in ex…z-Tree: Zurich toolbox for ready-made economic experiments (2007)z-Tree: Zurich toolbox for re…Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…Are Insider Trades Informative? (2001)Are Insider Trades Informativ…An Introduction to High-Frequency Finance (2001)An Introduction to High-Frequ…HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS (2000)HERD BEHAVIOR AND AGGREGATE F…Scaling and criticality in a stochastic multi-agent model of a financial market (1999)Scaling and criticality in a …Introduction to Econophysics (1999)Introduction to EconophysicsHeterogeneous beliefs and routes to chaos in a simple asset pricing model (1998)Heterogeneous beliefs and rou…The variation of certain speculative prices (1997)The variation of certain spec…Herd Behaviour, Bubbles and Crashes (1995)Herd Behaviour, Bubbles and C…Informed Speculation with Imperfect Competition (1989)Informed Speculation with Imp…Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Infor…A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Structural Clustering of Volatility Regimes for Dynamic Trading Strategies (2021)Structural Clustering of Vola…Intertemporal asset pricing with bitcoin (2020)Intertemporal asset pricing w…Waiting times between orders and trades in double-auction markets (2005)Waiting times between orders …Asset Prices in an Exchange Economy (1978)A Rational Route to Randomness (1997)Time series properties of an artificial stock market (1999)Agent-based computational finance: Suggested readings and early research (2000)Heterogeneous Agent Models in Economics and Finance (2005)The Economy as an Evolving Complex System II (2018)Fractional Brownian Motions, Fractional Noises and Applications (1968)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Copula Modeling: An Introduction for Practitioners (2007)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)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)Are people conditionally cooperative? Evidence from a public goods experiment (2001)Altruistic punishment in humans (2002)Do Women Shy Away From Competition? Do Men Compete Too Much? (2007)Scaling of the distribution of fluctuations of financial market indices (1999)Universal and Nonuniversal Properties of Cross Correlations in Financial Time Series (1999)A tool for filtering information in complex systems (2005)
this work references cited by second hop

References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 2007z-Tree: Zurich toolbox for ready-made economic experiments9,517 cited
  • 1980On the Impossibility of Informationally Efficient Markets5,122 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1980On the Impossibility of Informationally Efficient Markets3,640 cited
  • 2001Empirical properties of asset returns: stylized facts and statistical issues3,508 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1999Introduction to Econophysics1,831 cited
  • 1998Heterogeneous beliefs and routes to chaos in a simple asset pricing model1,697 cited
  • 1999Scaling and criticality in a stochastic multi-agent model of a financial market1,527 cited
  • 2001Are Insider Trades Informative?1,229 cited
  • 1995Herd Behaviour, Bubbles and Crashes1,054 cited
  • 1989Informed Speculation with Imperfect Competition963 cited
  • 2001An Introduction to High-Frequency Finance956 cited
  • 2000

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HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
827 cited

Cited by

  • 2005Waiting times between orders and trades in double-auction markets66 cited
  • 2021Structural Clustering of Volatility Regimes for Dynamic Trading Strategies24 cited
  • 2020Intertemporal asset pricing with bitcoin23 cited