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Overreaction and Diagnostic Expectations in Macroeconomics
Bordalo, Pedro; Gennaioli, Nicola; Shleifer, Andrei - National Bureau of Economic Research - 2022
relaxing the assumption of rational expectations is a promising strategy, helps theory and evidence go together, and offers a …
Persistent link: https://www.econbiz.de/10013362010
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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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Kurspflege bei Initial Public Offerings (IPO) : eine modellgestützte ökonomische Analyse aus Sicht der Emissionsbank
Lüdiger, Markus - 2007 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003661489
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Artificial long memory effects in two agent-based asset pricing models
Franke, Reiner - 2008
This note is concerned with two recent agent-based models of speculative dynamics from the literature, one by Gaunersdorfer and Hommes and the other by He and Li. At short as well as long lags, both of them display an autocorrelation structure in absolute and squared returns that comes...
Persistent link: https://www.econbiz.de/10003738658
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Who does a currency transaction tax harm more : short-term speculators or long-term investors?
Demary, Markus - In: Jahrbücher für Nationalökonomie und Statistik 228 (2008) 2/3, pp. 228-250
Persistent link: https://www.econbiz.de/10003770561
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An agent-based stochastic volatility model
Alfarano, Simone - 2006
Persistent link: https://www.econbiz.de/10003307294
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Macroeconomic effects of the interest rate level : growth and fluctuations in an economy with bank capital adequacy standards
Giulioni, Gianfranco - In: Artificial markets modeling : methods and applications, (pp. 17-32). 2007
Persistent link: https://www.econbiz.de/10003854739
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A generative approach on the relationship between trading volume, prices, returns and volatility of financial assets
Pascual, José Antonio; Pajares Gutiérrez, Javier - In: Artificial economics : the generative method in …, (pp. 185-196). 2009
Persistent link: https://www.econbiz.de/10003889497
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Asset return dynamics under alternative learning schemes
Catanese, Elena; Consiglio, Andrea; Lacagnina, Valerio; … - In: Artificial economics : the generative method in …, (pp. 211-222). 2009
Persistent link: https://www.econbiz.de/10003889507
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Transaction taxes and traders with heterogeneous investment horizons in an agent-based financial market model
Demary, Markus - 2009
This heterogeneous interacting agents model of a financial market is a generalization of the model proposed by Westerhoff (The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies) by traders who are allowed to have different investment horizons as...
Persistent link: https://www.econbiz.de/10003905064