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Dynamics of price and trading volume in a spin model of stock markets with heterogeneous agents
16 references·3 citing·44 second hop
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References

  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1999Scaling and criticality in a stochastic multi-agent model of a financial market1,527 cited
  • 1981The Present-Value Relation: Tests Based on Implied Variance Bounds1,364 cited
  • 1992Stock Prices and Volume1,295 cited
  • 1997Emergence of cooperation and organization in an evolutionary game924 cited
  • 2000HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS827 cited
  • 1997Volatilities of different time resolutions — Analyzing the dynamics of market components745 cited
  • 1999Statistical properties of the volatility of price fluctuations730 cited
  • 1997Price variations in a stock market with many agents398 cited
  • 2000Statistical properties of share volume traded in financial markets320 cited
  • 1998”Direct” causal cascade in the stock market239 cited
  • 2001EXPECTATION BUBBLES IN A SPIN MODEL OF MARKETS: INTERMITTENCY FROM FRUSTRATION ACROSS SCALES197 cited
  • 2002A microsimulation of traders activity in the stock market: The role of heterogeneity, agents' interactions and trade frictions193 cited
  • 1999

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Self-organized percolation model for stock market fluctuations
180 cited
  • 2000Speculative bubbles and crashes in stock markets: an interacting-agent model of speculative activity166 cited
  • Cited by

    • 2006Importance of positive feedbacks and overconfidence in a self-fulfilling Ising model of financial markets103 cited
    • 2014A note on the relationship between market efficiency and adaptability – New evidence from artificial stock markets38 cited
    • 2005The Relationship between Trading Volume, Volatility and Stock Market Returns: A test of Mixed Distribution Hypothesis for A Pre- and Post Crisis on Kuala Lumpur Stock Exchange26 cited