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Explaining the statistical features of the Spanish stock market from the bottom-up
Pascual, José A.; Pajares Gutiérrez, Javier; … - In: Advances in artificial economics : the economy as a …, (pp. 283-294). 2006
Persistent link: https://www.econbiz.de/10003481691
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The Genoa artificial stock market : microstructure and simulations
Marchesi, M. (contributor) - In: Heterogenous agents, interactions and economic performance, (pp. 277-289). 2003
Persistent link: https://www.econbiz.de/10001750269
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A practical algorithm to detect superexponential behavior in financial asset price returns
Lynch, Christopher; Mestel, Benjamin - In: International journal of theoretical and applied … 25 (2022) 6, pp. 1-22
Persistent link: https://www.econbiz.de/10014235068
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The microeconomic foundations of instability in financial markets
Kirman, Alan P. - In: Long memory in economics : with 50 tables, (pp. 311-344). 2006
Persistent link: https://www.econbiz.de/10003375653
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Tests for explosive financial bubbles in the presence of non-stationary volatility
Harvey, David I.; Leybourne, Stephen James; Sollis, Robert - In: Journal of empirical finance 38 (2016), pp. 548-574
Persistent link: https://www.econbiz.de/10011663370
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Asset pricing with financial bubble risk
Lee, Ji Hyung; Phillips, Peter C. B. - In: Journal of empirical finance 38 (2016), pp. 590-622
Persistent link: https://www.econbiz.de/10011663380
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Tests for an end-of-sample bubble in financial time series
Astill, Sam; Harvey, David I.; Leybourne, Stephen James; … - In: Econometric reviews 36 (2017) 6/9, pp. 651-666
Persistent link: https://www.econbiz.de/10011795312
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Modelling of speculative bubbles and forecasting of market crashes
Gerlach, Jan-Christian - 2021
Persistent link: https://www.econbiz.de/10012510251
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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 minimal noise trader model with realistic time series properties
Alfarano, Simone; Lux, Thomas - In: Long memory in economics : with 50 tables, (pp. 345-361). 2006
Persistent link: https://www.econbiz.de/10003357267