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Why a simple herding model may generate the stylized facts of daily returns : explanation and estimation

Franke, Reiner; Westerhoff, Frank H. - 2011

The paper proposes an elementary agent-based asset pricing model that, invoking the two trader types of fundamentalists and chartists, comprises four features: (i) price determination by excess demand; (ii) a herding mechanism that gives rise to a macroscopic adjustment equation for the market...

Persistent link: https://www.econbiz.de/10009424773

A comparison of tail behaviour of stock market returns

Echaust, Krzysztof - In: Folia oeconomica Stetinensia : FOS 14 (2014) 1, pp. 22-34

Persistent link: https://www.econbiz.de/10010518936

The effects of multilateral trading systems on risk and return in equity markets

Ramiah, Vikash; Moosa, Imad A.; Huy Nguyen Anh Pham; … - In: Applied economics 47 (2015) 43/45, pp. 4777-4792

Persistent link: https://www.econbiz.de/10011380787

New evidence about the profitability of small and large stocks and the role of volume obtained using Strongly Typed Genetic Programming

Manahov, Viktor; Hudson, Robert; Linsley, Philip - In: Journal of international financial markets, … 33 (2014), pp. 299-316

Persistent link: https://www.econbiz.de/10011299824

Dynamic stock-bond return correlations and financial market uncertainty

Chiang, Thomas C.; Li, Jiandong; Yang, Sheng-Yung - In: Review of quantitative finance and accounting 45 (2015) 1, pp. 59-88

Persistent link: https://www.econbiz.de/10011333137

Demographics and the econometrics of the term structure of stock market Rrisk

Favero, Carlo A.; Tamoni, Andrea - 2010

Persistent link: https://www.econbiz.de/10011334805

The growth payback, a reinterpretation of the PEG ratio

Dewally, Michael; Park, Jin Dong; Rhee, Moon-whoan; … - In: Journal of business and economic perspectives 41 (2014) 1, pp. 7-20

Persistent link: https://www.econbiz.de/10011339998

Bull, bear or any other states in US stock market?

Jiang, Yu; Fang, Xianming - In: Economic modelling 44 (2015), pp. 54-58

Persistent link: https://www.econbiz.de/10011326294

Construction and backtesting of a multi-factor stress-scenario for the stock market

Boldyrev, Kirill; Andrianov, Dmitry; Ivliev, Sergey - In: Financial econometrics and empirical market microstructure, (pp. 37-45). 2015

Persistent link: https://www.econbiz.de/10011326724

How candlestick features affect the performance of volatility forecasts : evidence from the stock market

Su, Jung-bin - In: The European journal of finance 21 (2015) 4/6, pp. 486-506

Persistent link: https://www.econbiz.de/10010528953

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