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Heterogeneity and feedback in an agent-based market model
16 references·1 citing·39 second hop
Heterogeneity and feedback in an agent-based market model (2005)Heterogeneity and feedback in an agent-ba…A Long Memory Property of Stock Market Returns and a New Model (2010)A Long Memory Property of Sto…Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Non-Gaussian Ornstein–Uhlenbe…Empirical properties of asset returns: stylized facts and statistical issues (2001)Empirical properties of asset…VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS (2000)VOLATILITY CLUSTERING IN FINA…Security Analysts' Career Concerns and Herding of Earnings Forecasts (2000)Security Analysts' Career Con…Irrational Exuberance (2000)Irrational ExuberanceHERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS (2000)HERD BEHAVIOR AND AGGREGATE F…Agent-based computational finance: Suggested readings and early research (2000)Agent-based computational fin…Heterogeneous 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…Asset Pricing Under Endogenous Expectations in an Artificial Stock Market (1997)Asset Pricing Under Endogenou…A long memory property of stock market returns and a new model (1993)A long memory property of sto…Evolution and market behavior (1992)Evolution and market behaviorThe economy as an evolving complex system (1991)The economy as an evolving co…What Moves Stock Prices? (1988)What Moves Stock Prices?The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Removing systematic patterns in returns in a financial market model by artificially intelligent traders (2011)Removing systematic patterns …EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Volatilities of different time resolutions — Analyzing the dynamics of market components (1997)Long memory in continuous‐time stochastic volatility models (1998)Modeling and Forecasting Realized Volatility (2001)Asset Prices in an Exchange Economy (1978)A Rational Route to Randomness (1997)Time series properties of an artificial stock market (1999)Heterogeneous Agent Models in Economics and Finance (2005)The Economy as an Evolving Complex System II (2018)Optimum consumption and portfolio rules in a continuous-time model (1971)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)A forecast comparison of volatility models: does anything beat a GARCH(1,1)? (2005)Economic Forces and the Stock Market (1986)Expected stock returns and volatility (1987)Permanent and Temporary Components of Stock Prices (1988)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Differences of Opinion, Short-Sales Constraints, and Market Crashes (2003)Sentiment During Recessions (2012)Fractional Brownian Motions, Fractional Noises and Applications (1968)Chapter 23 Heterogeneous Agent Models in Economics and Finance (2006)Copula Modeling: An Introduction for Practitioners (2007)Agency Problems and the Theory of the Firm (1980)Optimal Incentive Contracts in the Presence of Career Concerns: Theory and Evidence (1991)Herd Behavior in Financial Markets (2000)Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization (2004)The impact of corporate social responsibility on investment recommendations: Analysts' perceptions and shifting institutional logics (2014)Modeling and Forecasting Realized Volatility (2003)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Introductory Econometrics for Finance (2008)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)Globalization and its Discontents (2001)Investor Sentiment and the Cross-Section of Stock Returns (2003)The short of it: Investor sentiment and anomalies (2011)
this work references cited by second hop

References

  • 1963The Variation of Certain Speculative Prices4,851 cited
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  • 1988What Moves Stock Prices?1,255 cited
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  • 2000Agent-based computational finance: Suggested readings and early research557 cited

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  • 1992Evolution and market behavior553 cited
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    • 2011Removing systematic patterns in returns in a financial market model by artificially intelligent traders23 cited