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Handelsstrategien von Nichtpreisnehmern : Theorie und empirische Untersuchung
Kampovsky, Anne-Kerstin - 2000
Persistent link: https://www.econbiz.de/10001526720
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On the distribution of transaction stock returns : theory and evidence
Ha, Daesung - 1991
Persistent link: https://www.econbiz.de/10000997684
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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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A nonlinear structural model for volatility clustering
Gaunersdorfer, Andrea; Hommes, Cars H. - In: Long memory in economics : with 50 tables, (pp. 265-288). 2006
Persistent link: https://www.econbiz.de/10003375647
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Effizienz in Aktienmärkten : Bewertung von Information unter Berücksichtigung von Wechselwirkungen in Multiagentensystemen
Rothenstein, Roland - 2004
Persistent link: https://www.econbiz.de/10002230490
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Information versus imitation in a real-time agent-based model of financial markets
Biondo, Alessio Emanuele - In: Journal of economic interaction and coordination 15 (2020) 3, pp. 613-631
Persistent link: https://www.econbiz.de/10012296905
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Nonlinearity in high-frequency financial data and hierarchical models
McCulloch, Robert E. (contributor);  … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 5 (2001) 1, pp. 1-17
Persistent link: https://www.econbiz.de/10001769738
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Predictability and herding of bourse volatility : an econophysics analogue
Ghosh, Bikramaditya; Krishna, Mysore Chidambareswaran; … - In: Investment management and financial innovations 15 (2018) 2, pp. 317-326
Persistent link: https://www.econbiz.de/10012055468
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Speculative bubble tendencies in time series of Bitcoin market prices
Demmler, Michael; Fernández Domínguez, Amilcar O. - In: Cuadernos de economía 41 (2022) 86, pp. 159-183
Persistent link: https://www.econbiz.de/10014541846
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A model for stock market returns : non-Gaussian fluctuations and financial factors
Craven, B. D.; Islam, Sardar M. N. - In: Review of quantitative finance and accounting 30 (2008) 4, pp. 355-370
Persistent link: https://www.econbiz.de/10003711385