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Essays on micromotives and macrobehavior, expectation formation, and asset price dynamics
Ghonghadze, Jaba - 2013
Persistent link: https://www.econbiz.de/10009706287
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Stochastic behavioral asset pricing models and the stylized facts
Lux, Thomas - 2008
High-frequency financial data are characterized by a set of ubiquitous statistical properties that prevail with surprising uniformity. While these 'stylized facts' have been well-known for decades, attempts at their behavioral explanation have remained scarce. However, recently a new branch of...
Persistent link: https://www.econbiz.de/10010273169
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Endogenous noise in speculative markets
Lux, Thomas - 1994
Persistent link: https://www.econbiz.de/10000885715
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Complex dynamics in speculative markets : a survey of the evidence and some implications for theoretical analysis
Lux, Thomas - 1994
Persistent link: https://www.econbiz.de/10000886019
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Endogenous noise in speculative markets
Lux, Thomas - 1994
Persistent link: https://www.econbiz.de/10000417899
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Stochastic behavioral asset pricing models and the stylized facts
Lux, Thomas (contributor) - 2008
High-frequency financial data are characterized by a set of ubiquitous statistical properties that prevail with surprising uniformity. While these 'stylized facts' have been well-known for decades, attempts at their behavioral explanation have remained scarce. However, recently a new branch of...
Persistent link: https://www.econbiz.de/10003715066
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A minimal noise trader model with realistic time series properties
Alfarano, Simone; Lux, Thomas - In: Long memory in economics : with 50 tables, (pp. 345-361). 2006
Persistent link: https://www.econbiz.de/10003357267
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An agent-based stochastic volatility model
Alfarano, Simone - 2006
Persistent link: https://www.econbiz.de/10003307294
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Stochastic behavioral asset-pricing models and the stylized facts
Lux, Thomas - In: Handbook of financial markets : dynamics and evolution, (pp. 161-215). 2009
Persistent link: https://www.econbiz.de/10003820630