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Dynamic predictor selection and order splitting in a limit order market
Yamamoto, Ryuichi - In: Macroeconomic dynamics 23 (2019) 5, pp. 1757-1792
Persistent link: https://www.econbiz.de/10012127237
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Price dynamics, financial fragility and aggregate volatility
Mandel, Antoine; Landini, Simone; Gallegati, Mauro; … - In: Journal of economic dynamics & control 51 (2015), pp. 257-277
Persistent link: https://www.econbiz.de/10011474403
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Market stability vs. market resilience : regulatory policies experiments in an agent-based model with low- and high-frequency trading
Leal, Sandrine Jacob; Napoletano, Mauro - In: Journal of economic behavior & organization : JEBO 157 (2019), pp. 15-41
Persistent link: https://www.econbiz.de/10012138458
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Sand in the wheels or wheels in the sand? : Tobin taxes and market crashes
Lavička, Hynek; Lichard, T.; Novotný, Jan - In: International review of financial analysis 47 (2016), pp. 328-342
Persistent link: https://www.econbiz.de/10011624246
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High frequency traders in a simulated market
Hanson, Thomas A. - In: Review of accounting & finance 15 (2016) 3, pp. 329-351
Persistent link: https://www.econbiz.de/10011607960
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MADness in the method : on the volatility and irregularity of technology diffusion
Bodó, Péter - In: Technological forecasting & social change : an … 111 (2016), pp. 2-11
Persistent link: https://www.econbiz.de/10011611027
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Market stability vs. market resilience : regulatory policies experiments in an agent-based model with low- and high-frequency trading
Leal, Sandrine Jacob; Napoletano, Mauro - 2016
Persistent link: https://www.econbiz.de/10011644118
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Bringing an elementary agent-based model to the data : estimation via GMM and an application to forecasting of asset price volatility
Ghonghadze, Jaba; Lux, Thomas - In: Journal of empirical finance 37 (2016), pp. 1-19
Persistent link: https://www.econbiz.de/10011662890
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Global sunspots and asset prices in a monetary economy
Farmer, Roger E. A. - 2015
Persistent link: https://www.econbiz.de/10010495415
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Bringing an elementary agent-based model to the data : estimation via GMM and an application to forecasting of asset price volatility
Ghonghadze, Jaba; Lux, Thomas - 2015
We explore the issue of estimating a simple agent-based model of price formation in an asset market using the approach of Alfarano et al. (2008) as an example. Since we are able to derive various moment conditions for this model, we can apply generalized method of moments (GMM) estimation. We...
Persistent link: https://www.econbiz.de/10010501932