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Herd behavior, bubbles, and crashes
Lux, Thomas - 1993
Persistent link: https://www.econbiz.de/10000418186
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An agent-based stochastic volatility model
Alfarano, Simone - 2006
Persistent link: https://www.econbiz.de/10003307294
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Switching rates and the asymptotic behavior of herding models
Irle, Albrecht; Kauschke, Jonas; Lux, Thomas; … - 2010
apply to agent-based herding models, with the particular goal of establishing their asymptotic behavior because several … chains ; agent-based finance ; herding ; N-dependence …
Persistent link: https://www.econbiz.de/10003932610
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A noise trader model as a generator of apparent financial power laws and long memory
Alfarano, Simone; Lux, Thomas - In: Macroeconomic dynamics 11 (2007), pp. 80-101
Persistent link: https://www.econbiz.de/10003616333
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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 - In: Journal of economic dynamics & control 32 (2008) 1, pp. 101-136
Persistent link: https://www.econbiz.de/10003622727
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Time-variation of higher moments in a financial market with heterogeneous agents : an analytical approach
Alfarano, Simone (contributor); Lux, Thomas (contributor);  … - 2006
by analytical solutions of a simple variant of the seminal herding model introduced by Kirman (1993). Embedding the … herding framework into a simple equilibrium asset pricing framework, we are able to derive closed-form solutions for the time …
Persistent link: https://www.econbiz.de/10003392174
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Excess volatility and herding in an artificial financial market : analytical approach and estimation
Alfarano, Simone; Lux, Thomas; Wagner, Friedrich - In: Funktionsfähigkeit und Stabilität von Finanzmärkten …, (pp. 241-259). 2005
Persistent link: https://www.econbiz.de/10003249990
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A noise trader model as a generator of apparent financial power laws and long memory
Alfarano, Simone (contributor); Lux, Thomas (contributor) - 2005
: fundamentalists and chartists, and their interactions are based on a variant of the herding mechanism introduced by Kirman [1993]. The …
Persistent link: https://www.econbiz.de/10003077003
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Time-variation of higher moments in a financial market with heterogeneous agents : an analytical approach
Alfarano, Simone (contributor); Lux, Thomas (contributor);  … - 2005
research is supplemented by analytical solutions of a simple variant of the seminal herding model introduced by Kirman [1993 …]. Embedding the herding framework into a simple equilibrium asset pricing model, we are able to derive closed-form solutions for …
Persistent link: https://www.econbiz.de/10003077054
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Time series models for epidemics: : leading indicators, control groups and policy assessment
Harvey, Andrew C. - 2020
Persistent link: https://www.econbiz.de/10012672008