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The red queen principle and the emergence of efficient financial markets : an agent based approach
Markose, Sheri M.; Tsang, Edward; Martinez Jaramillo, … - In: Nonlinear dynamics and heterogeneous interacting agents …, (pp. 287-303). 2005
Persistent link: https://www.econbiz.de/10002775717
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Why a simple herding model may generate the stylized facts of daily returns : explanation and estimation
Franke, Reiner; Westerhoff, Frank H. - 2011
and chartists, comprises four features: (i) price determination by excess demand; (ii) a herding mechanism that gives rise …
Persistent link: https://www.econbiz.de/10009424773
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Integrating real sector growth and inflation into an agent-based stock market dynamics
Franke, Reiner; Ghonghadze, Jaba - 2014
Concentrating on speculative flow rather than stock demand, the paper puts forward a deterministic continuous-time model of the equity market that is compatible with a growing and inflationary economy. Instead of the systematically rising equity price, the central state variable in now Tobin's...
Persistent link: https://www.econbiz.de/10010406891
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Comovements between heavily shorted stocks during a market squeeze : lessons from the GameStop trading frenzy
Umar, Zaghum; Yousaf, Imran; Zaremba, Adam - In: Research in international business and finance 58 (2021), pp. 1-9
Persistent link: https://www.econbiz.de/10013286466
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Why a simple herding model may generate the stylized facts of daily returns : explanation and estimation
Franke, Reiner; Westerhoff, Frank H. - In: Journal of economic interaction and coordination : JEIC 11 (2016) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10011486128
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Statistical properties of absolute log-returns and a stochastic model of stock markets with heterogeneous agents
Kaizoji, Taisei - In: Nonlinear dynamics and heterogeneous interacting agents …, (pp. 237-248). 2005
Persistent link: https://www.econbiz.de/10002775656
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Cowboying stock market herds with robot traders
Galimberti, Jaqueson K.; Suhadolnik, Nicolas; Silva, … - In: Computational economics 50 (2017) 3, pp. 393-423
Persistent link: https://www.econbiz.de/10011783321
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Speculative behavior and the dynamics of interacting stock markets
Schmitt, Noemi; Westerhoff, Frank H. - 2013
step and depend on predisposition effects, herding behavior and market circumstances. Simulations reveal that our model is …
Persistent link: https://www.econbiz.de/10010204792
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Gleichgerichtetes Verhalten am Aktienmarkt : eine Verbindung ökonomischer, psychologischer und soziologischer Ansätze
Hoffmann, Carsten - 2001
Persistent link: https://www.econbiz.de/10001553445
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Market entry waves and volatility outbursts in stock markets
Blaurock, Ivonne; Schmitt, Noemi; Westerhoff, Frank H. - 2017
herding behavior and market risk. Moreover, speculators' orders depend on price trends, market misalignments and fundamental … news. Using a mix of analytical and numerical tools, we show that a herding-induced market entry wave may amplify excess …
Persistent link: https://www.econbiz.de/10011702006