SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

An empirical behavioral model of liquidity and volatility · Study

ArticleShelves

ArticleAn empirical behavioral model of liquidity and volatility

Szabolcs Mike2007

OA

Articlegreen2007

An empirical behavioral model of liquidity and volatility

Szabolcs Mike · J. Doyne Farmer

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

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Complex Systems and Time Series Analysis Financial Markets and Investment Strategies Stochastic processes and financial applications

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 261 citations exist upstream.

References

1965The Behavior of Stock-Market Prices 1963The Variation of Certain Speculative Prices 1997The variation of certain speculative prices 1996Statistics for Long-Memory Processes.2001Investor Psychology and Asset Pricing 2018The Economy as an Evolving Complex System II 1968The Cost of Transacting 1995Scaling behaviour in the dynamics of an economic index

Cited by

2011Econophysics review: II. Agent-based models 2011Anomalous Price Impact and the Critical Nature of Liquidity in Financial Markets 2009Quantitative features of multifractal subtleties in time series 2008The virtues and vices of equilibrium and the future of financial economics 2011The market impact of a limit order 2012Linking agent-based models and stochastic models of financial markets 2013Fractal Markets Hypothesis and the Global Financial Crisis: Wavelet Power Evidence

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2008The virtues and vices of equilibrium and the future of financial economicsarticle · 23 shared references 2004What really causes large price changes?article · 20 shared references 2008How Markets Slowly Digest Changes in Supply and Demandpreprint · 13 shared references 2006Large stock price changes: volume or liquidity?article · 12 shared references 2013How efficiency shapes market impactarticle · 11 shared references 2004On the origin of power-law tails in price fluctuationsarticle · 10 shared references

Details

Year2007

Typearticle

Published2007-09-05

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations261

Files0 public / 0

ShelfComplex Systems and Time Series Analysis

Identifiers

doi10.1016/j.jedc.2007.01.025

openalex_workW2067178671

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2015Using an artificial financial market for studying a cryptocurrency market