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Microeconomic Models for Long Memory in the Volatility of Financial Time Series
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Microeconomic Models for Long Memory in the Volatility of Financial Time Series (2001)Microeconomic Models for Long Memory in t…Removing systematic patterns in returns in a financial market model by artificially intelligent traders (2011)Removing systematic patterns …Fat tails and volatility clustering in experimental asset markets (2007)Fat tails and volatility clus…Basis Convergence and Long Memory in Volatility When Dynamic Hedging with Futures (2007)Basis Convergence and Long Me…A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY (2007)A NOISE TRADER MODEL AS A GEN…Self-referential behaviour, overreaction and conventions in financial markets (2006)Self-referential behaviour, o…Agent-Based Financial Markets: Matching Stylized Facts with Style (2006)Agent-Based Financial Markets…Heterogeneity and feedback in an agent-based market model (2005)Heterogeneity and feedback in…Genetic learning as an explanation of stylized facts of foreign exchange markets (2004)Genetic learning as an explan…The Limits of Arbitrage (1995)Forecasting with artificial neural networks: (1998)Empirical properties of asset returns: stylized facts and statistical issues (2001)Working time preferences, hours mismatch and well-being of couples: Are there spillovers? (2013)Speculative behavior and the dynamics of interacting stock markets (2014)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)A long memory property of stock market returns and a new model (1993)Measuring and Testing the Impact of News on Volatility (1993)Hedging with Chinese Metal Futures (2007)Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH (2015)On the Impossibility of Informationally Efficient Markets (1980)Continuous Auctions and Insider Trading (1985)Waiting times between orders and trades in double-auction markets (2005)z-Tree: Zurich toolbox for ready-made economic experiments (2007)Intertemporal asset pricing with bitcoin (2020)Structural Clustering of Volatility Regimes for Dynamic Trading Strategies (2021)Empirical exchange rate models of the seventies (1983)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)A Rational Route to Randomness (1997)Social Learning and Monetary Policy Rules (2012)From standard to evolutionary finance: a literature survey (2018)The Variation of Certain Speculative Prices (1963)The variation of certain speculative prices (1997)Uncertainty, Evolution, and Economic Theory (1950)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)The memory of beta (2020)Scaling and criticality in a stochastic multi-agent model of a financial market (1999)Long memory and regime switching (2001)Estimation of Sentiment Effects in Financial Markets: A Simulated Method of Moments Approach (2016)TAKING STOCK: A RIGOROUS MODELLING OF ANIMAL SPIRITS IN MACROECONOMICS (2017)The memory of stock return volatility: Asset pricing implications (2019)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Does the Stock Market Overreact? (1985)
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  • 2004Genetic learning as an explanation of stylized facts of foreign exchange markets82 cited
  • 2005Heterogeneity and feedback in an agent-based market model75 cited
  • 2007A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY73 cited
  • 2007Fat tails and volatility clustering in experimental asset markets71 cited
  • 2006Agent-Based Financial Markets: Matching Stylized Facts with Style63 cited
  • 2006Self-referential behaviour, overreaction and conventions in financial markets57 cited
  • 2007Basis Convergence and Long Memory in Volatility When Dynamic Hedging with Futures23 cited
  • 2011Removing systematic patterns in returns in a financial market model by artificially intelligent traders23 cited

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