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A Noise Trader Model as a Generator of Apparant Power Laws and Long Memory
Lux, Thomas; Alfarano, Simone - Financial Econometrics Research Centre, Warwick … - 2006
Persistent link: https://www.econbiz.de/10010721494
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Time-Variation of Higher Moments in a Financial Market with Heterogeneous Agents: An Analytical Approach
Alfarano, Simone; Lux, Thomas; Wagner, Friedrich - Financial Econometrics Research Centre, Warwick … - 2006
Persistent link: https://www.econbiz.de/10010721516
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Empirical Validation of Stochastic Models of Interacting Agents: A 'Maximally Skewed' Noise Trader Model
Alfarano, Simone; Lux, Thomas; Wagner, Friedrich - Financial Econometrics Research Centre, Warwick … - 2006
Persistent link: https://www.econbiz.de/10010721519
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Extreme Value Theory as a Theoretical Background for Power Law Behaviour
Alfarano, Simone; Lux, Thomas - Financial Econometrics Research Centre, Warwick … - 2006
Persistent link: https://www.econbiz.de/10010823395
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Time-Variation of Higher Moments in a Financial Market with Heterogeneous Agents: An Analytical Approach
Wagner, Friedrich; Lux, Thomas; Alfarano, Simone - Financial Econometrics Research Centre, Warwick … - 2005
Persistent link: https://www.econbiz.de/10004981041
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A Simple Asymmetric Herding Model to Distinguish Between Stock and Foreign Exchange Markets
Franke, Reiner; Alfarano, Simone - Financial Econometrics Research Centre, Warwick … - 2007
Persistent link: https://www.econbiz.de/10004981081
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Should Network Structure Matter in Agent-Based Finance?
Milakovic, Michael; Alfarano, Simone - Financial Econometrics Research Centre, Warwick … - 2007
Persistent link: https://www.econbiz.de/10004981082