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On the time varying nature of herding behaviour: evidence from major European indices
Stavroyiannis, Stavros; Babalos, Vassilios - In: Global business & economics review 17 (2015) 3, pp. 298-309
Persistent link: https://www.econbiz.de/10011498524
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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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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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Trade what you see : how to profit from pattern recognition
Pesavento, Larry; Jouflas, Leslie - 2007
Persistent link: https://www.econbiz.de/10003527131
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Herding, a-synchronous updating and heterogeneity in memory in a CBS
Diks, Cees G. H.; Weide, Roy van der - 2003
explicit nature of the dynamics of the CBS we show that the introduction of herding modifies the random walk to an ARIMA($0 …
Persistent link: https://www.econbiz.de/10011334332
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Fourier analysis for stock price forecasting : assumption and evidence
Stádník, Bohumil; Raudeliūnienė, Jurgita; … - In: Journal of business economics and management 17 (2016) 3, pp. 365-380
Persistent link: https://www.econbiz.de/10011517950
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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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Simultaneously long short trading in discrete and continuous time
Baumann, Michael; Grüne, Lars - 2016
Persistent link: https://www.econbiz.de/10012321486
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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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A Markov-switching multifractal inter-trade duration model, with application to US equities
Chen, Fei; Diebold, Francis X.; Schorfheide, Frank - In: Journal of econometrics 177 (2013) 2, pp. 320-342
Persistent link: https://www.econbiz.de/10010255140