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Heterogeneous speculators and stock market dynamics : a simple agent-based computational model
Schmitt, Noemi; Schwartz, Ivonne; Westerhoff, Frank H. - 2020
We propose a simple agent-based computational model in which speculators' trading behavior may cause bubbles and crashes, excess volatility, serially uncorrelated returns, fat-tailed return distributions and volatility clustering, thereby replicating five important stylized facts of stock...
Persistent link: https://www.econbiz.de/10012257370
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Heterogeneous speculators and stock market dynamics : a simple agent-based computational model
Schmitt, Noemi; Schwartz, Ivonne; Westerhoff, Frank H. - In: The European journal of finance 28 (2022) 13/15, pp. 1263-1282
Persistent link: https://www.econbiz.de/10013532181
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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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The Minsky moment as the revenge of entropy
Rosser, John Barkley - In: Macroeconomic dynamics 24 (2020) 1, pp. 7-23
Persistent link: https://www.econbiz.de/10012163564
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Patterns of speculation : a study in observational econophysics
Roehner, Bertrand M. - 2002 - 1. publ.
Persistent link: https://www.econbiz.de/10001632826
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[Rezension von: Roehner, Bertrand Marie, Patterns of speculation, a study in observational econophysics]
De Bondt, Werner Franciscus Marcel - In: Journal of economic literature 42 (2004) 3, pp. 838-840
Persistent link: https://www.econbiz.de/10002389030
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Speculative bubbles in Bitcoin markets? : an empirical investigation into the fundamental value of Bitcoin
Cheah, Eng-Tuck; Fry, John - In: Economics letters 130 (2015), pp. 32-36
Persistent link: https://www.econbiz.de/10011422365
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Patterns of speculation : a study in observational econophysics
Roehner, Bertrand M. - 2002 - 1. publ.
Cover -- Half-title -- Title -- Copyright -- Contents -- Preface -- Part I Econophysics -- 1 Why econophysics? -- 1 … comparative analysis -- 2 The beginnings of econophysics -- 1 Pre-econophysics -- 1.1 Pre-econophysicists -- 1.1.1 Quételet (1796 ….2 Assessment of pre-econophysics -- 2 Institutional econophysics -- 2.1 Idiosyncrasies of economic journals -- 2.2 The beginnings …
Persistent link: https://www.econbiz.de/10012681273
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The trend is not your friend! Why empirical timing success is determined by the underlying's price characteristics and market efficiency is irrelevant
Scholz, Peter; Walther, Ursula - Frankfurt School of Finance and Management - 2011
The often reported empirical success of trend-following technical timing strategies remains to be puzzling. In previous academic research, many authors admit some prediction power but struggle to substantiate their findings by referring vaguely to insufficient market effciency or unknown hidden...
Persistent link: https://www.econbiz.de/10009493250
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The trend is not your friend! Why empirical timing success is determined by the underlying's price characteristics and market efficiency is irrelevant
Scholz, Peter; Walther, Ursula - 2011
The often reported empirical success of trend-following technical timing strategies remains to be puzzling. In previous academic research, many authors admit some prediction power but struggle to substantiate their findings by referring vaguely to insufficient market effciency or unknown hidden...
Persistent link: https://www.econbiz.de/10010308129