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Rational speculators, contrarians, and excess volatility
Lof, Matthijs - In: Management science : journal of the Institute for … 61 (2015) 8, pp. 1889-1901
Persistent link: https://www.econbiz.de/10011338806
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The influence of heterogeneous preferences on asset prices in an incomplete market model
Niehaus, Frank - 2001
In this paper, we examine an exchange economy with a financial market composed of three assets: a share of a stock, an European call option written on the stock, and a riskless bond. The financial market is assumed to be incomplete and the option is not a redundant asset. In such a case the...
Persistent link: https://www.econbiz.de/10011526229
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Estimating the elasticity of intertemporal substitution accounting for stockholder-specific portfolios
Bonaparte, Yosef; Fabozzi, Frank J. - In: Applied economics letters 24 (2017) 13/15, pp. 923-927
Persistent link: https://www.econbiz.de/10011714413
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Intertemporal asset pricing with bitcoin
Koutmos, Dimitrios; Payne, James E. - In: Review of quantitative finance and accounting 56 (2021) 2, pp. 619-645
Persistent link: https://www.econbiz.de/10012432684
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International asset pricing with heterogeneous agents : estimation and inference
Tédongap, Roméo; Tinang, Jules - In: Journal of empirical finance 75 (2024), pp. 1-26
Persistent link: https://www.econbiz.de/10014491863
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Market clearing and Krusell-Smith algorithm in an economy with multiple assets
Bakota, Ivo - In: Computational economics 62 (2023) 3, pp. 1007-1045
Persistent link: https://www.econbiz.de/10014382858
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New evidence about the profitability of small and large stocks and the role of volume obtained using Strongly Typed Genetic Programming
Manahov, Viktor; Hudson, Robert; Linsley, Philip - In: Journal of international financial markets, … 33 (2014), pp. 299-316
Persistent link: https://www.econbiz.de/10011299824
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Do price limits hurt the market?
Yeh, Chia-hsuan; Yang, Chun-yi - In: Journal of economic interaction and coordination : JEIC 8 (2013) 1, pp. 125-153
Persistent link: https://www.econbiz.de/10009730902
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The implication of trader cognitive abilities on stock market properties
Manahov, Viktor; Soufian, Mona; Hudson, Robert - In: Intelligent systems in accounting finance and … 21 (2014) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10010339793
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Return predictability and the "wisdom of crowds" : genetic Programming trading algorithms, the Marginal Trader Hypothesis and the Hayek Hypothesis
Manahov, Viktor; Hudson, Robert; Hoque, Hafiz - In: Journal of international financial markets, … 37 (2015), pp. 85-98
Persistent link: https://www.econbiz.de/10011475040