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A Microeconomic Approach to Diffusion Models For Stock Prices
16 references·9 citing·42 second hop
A Microeconomic Approach to Diffusion Models For Stock Prices (1993)A Microeconomic Approach to Diffusion Mod…Proof that Properly Anticipated Prices Fluctuate Randomly (2015)Proof that Properly Anticipat…Ants, Rationality, and Recruitment (1993)Ants, Rationality, and Recrui…Bubbles, Crashes, and Endogenous Expectations in Experimental Spot Asset Markets (1991)Bubbles, Crashes, and Endogen…Stochastic Integration and Differential Equations (1990)Stochastic Integration and Di…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Bulls, bears and market sheep (1990)Bulls, bears and market sheepARCH models as diffusion approximations (1990)ARCH models as diffusion appr…Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1989)Positive Feedback Investment …Bubbles, Crashes, and Endogenous Expectations in Experimental Spot Asset Markets (1988)Bubbles, Crashes, and Endogen…Limit Theorems for Stochastic Processes (1987)Limit Theorems for Stochastic…Noise (1986)NoiseDoes the Stock Market Rationally Reflect Fundamental Values? (1986)Does the Stock Market Rationa…On the Possibility of Speculation under Rational Expectations (1982)On the Possibility of Specula…Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Théorie de la spéculation (1900)Théorie de la spéculationThe self-financing equation in limit order book markets (2019)The self-financing equation i…Hybrid stochastic local unit roots (2019)Hybrid stochastic local unit …The Econometrics of Option Pricing (2010)The Econometrics of Option Pr…State Dependence Can Explain the Risk Aversion Puzzle (2007)State Dependence Can Explain …A Limit Theorem for Financial Markets with Inert Investors (2006)A Limit Theorem for Financial…Equilibria in financial markets with heterogeneous agents: a probabilistic perspective (2005)Equilibria in financial marke…Principles for modelling financial markets (1996)Principles for modelling fina…Toward the Theory of Pricing of Options of Both European and American Types. II. Continuous Time (1995)Toward the Theory of Pricing …Stock price fluctuation as a diffusion in a random environment (1994)Stock price fluctuation as a …Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Does the Stock Market Overreact? (1985)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Time Series Analysis, Forecasting, and Control (1995)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Continuous Auctions and Insider Trading (1985)The Limits of Arbitrage (1995)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)The spandrels of San Marco and the Panglossian paradigm: a critique of the adaptationist programme (1979)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Competing Technologies, Increasing Returns, and Lock-In by Historical Events (1989)The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions (1998)VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS (2000)Heterogeneous Agent Models in Economics and Finance (2005)The General Theory of Employment, Interest and Money. (1936)The Framing of Decisions and the Psychology of Choice (1981)Stock Volatility and the Crash of '87 (1989)The econometrics of financial markets (1996)Investor Sentiment and Asset Valuation (2005)Scaling behaviour in the dynamics of an economic index (1995)5 Stochastic volatility (1996)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Arbitrage Theory in Continuous Time (1998)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Over-the-Counter Markets (2004)Positive Feedback Investment Strategies and Destabilizing Rational Speculation (1990)From Efficient Markets Theory to Behavioral Finance (2003)Field Experiments (2004)Affine processes and applications in finance (2003)Variance Risk Premiums (2008)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Inefficient Markets (2000)Equity Premia as Low as Three Percent? Evidence from Analysts' Earnings Forecasts for Domestic and International Stock Markets (2001)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1900Théorie de la spéculation2,605 cited
  • 2015Proof that Properly Anticipated Prices Fluctuate Randomly2,078 cited
  • 1987Limit Theorems for Stochastic Processes1,319 cited
  • 1988Bubbles, Crashes, and Endogenous Expectations in Experimental Spot Asset Markets1,269 cited
  • 1990Stochastic Integration and Differential Equations1,195 cited
  • 1986Does the Stock Market Rationally Reflect Fundamental Values?1,149 cited
  • 1993Ants, Rationality, and Recruitment986 cited
  • 1982On the Possibility of Speculation under Rational Expectations959 cited
  • 1990ARCH models as diffusion approximations943 cited
  • 1991Bubbles, Crashes, and Endogenous Expectations in Experimental Spot Asset Markets916 cited
  • 1989Positive Feedback Investment Strategies and Destabilizing Rational Speculation804 cited
  • 1990Bulls, bears and market sheep619 cited
  • 1986Noise

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Cited by

  • 2005Equilibria in financial markets with heterogeneous agents: a probabilistic perspective124 cited
  • 2007State Dependence Can Explain the Risk Aversion Puzzle121 cited
  • 2010The Econometrics of Option Pricing110 cited
  • 1996Principles for modelling financial markets88 cited
  • 1995Toward the Theory of Pricing of Options of Both European and American Types. II. Continuous Time75 cited
  • 2006A Limit Theorem for Financial Markets with Inert Investors47 cited
  • 1994Stock price fluctuation as a diffusion in a random environment38 cited
  • 2019The self-financing equation in limit order book markets30 cited
  • 2019Hybrid stochastic local unit roots17 cited