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Co-existence of trend and value in financial markets : estimating an extended Chiarella model

Majewski, Adam A.; Ciliberti, Stefano; Bouchaud, … - In: Journal of economic dynamics & control 112 (2020), pp. 1-28

Persistent link: https://www.econbiz.de/10012502330

Slow decay of impact in equity markets : insights from the ANcerno database

Bucci, Frédéric; Benzaquen, Michael; Lillo, Fabrizio; … - In: Market microstructure and liquidity 4 (2018) 3/4, pp. 1-14

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V-, U-, L- or W-shaped economic recovery after COVID-19? : insights from an agent-based model

Sharma, Dhruv; Bouchaud, Jean-Philippe; Gualdi, Stanislao; … - In: Covid economics : vetted and real-time papers (2020) 40, pp. 164-179

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Unravelling the trading invariance hypothesis

Benzaquen, Michael; Donier, Jonathan; Bouchaud, … - In: Market microstructure and liquidity 2 (2016) 3/4, pp. 1-25

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Optimal inflation target : insights from an agentbased model

Bouchaud, Jean-Philippe; Gualdi, Stanislao; Tarzia, Marco; … - 2017

Which level of inflation should Central Banks be targeting? The authors investigate this issue in the context of a simplified Agent Based Model of the economy. Depending on the value of the parameters that describe the micro-behaviour of agents (in particular inflation anticipations), they find...

Persistent link: https://www.econbiz.de/10011723714

Slow decay of impact in equity markets

Brokmann, X.; Sérié, E.; Kockelkoren, J.; Bouchaud, … - In: Market microstructure and liquidity 1 (2015) 2, pp. 1-15

Persistent link: https://www.econbiz.de/10011588208

The size premium in equity markets : where is the risk?

Ciliberti, Stefano; Sérié, Emmanuel; Simon, Guillaume; … - In: The journal of portfolio management : a publication of … 45 (2019) 5, pp. 58-68

Persistent link: https://www.econbiz.de/10012116077

Optimal inflation target : insights from an agent-based model

Bouchaud, Jean-Philippe; Gualdi, Stanislao; Tarzia, Marco; … - 2018

Which level of inflation should Central Banks be targeting? The authors investigate this issue in the context of a simplified Agent Based Model of the economy. Depending on the value of the parameters that describe the behaviour of agents (in particular inflation anticipations), they find a rich...

Persistent link: https://www.econbiz.de/10011806467

Linear models for the impact of order flow on prices, I.: History dependent impact models

Taranto, Damian Eduardo; Bormetti, Giacomo; Bouchaud, … - In: Quantitative finance 18 (2018) 6, pp. 903-915

Persistent link: https://www.econbiz.de/10011910928

Linear models for the impact of order flow on prices, II.: The Mixture Transition Distribution model

Taranto, Damian Eduardo; Bormetti, Giacomo; Bouchaud, … - In: Quantitative finance 18 (2018) 6, pp. 917-931

Persistent link: https://www.econbiz.de/10011910934