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High-frequency trading : insights from analytical models and simulated agent-based models
Kalimullina, Lina - 2019
Persistent link: https://www.econbiz.de/10012195053
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Financial price fluctuations in a stock market model with many interacting agents
Horst, Ulrich - In: Economic theory : official journal of the Society for … 25 (2005) 4, pp. 917-932
Persistent link: https://www.econbiz.de/10002790238
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Chapter 24 Agent-based Computational Finance
LeBaron, Blake - In: Handbook of computational economics : volume 2, …, (pp. 1187-1233). 2006
This chapter surveys research on agent-based models used in finance. It will concentrate on models where the use of …
Persistent link: https://www.econbiz.de/10014024381
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Contagion between asset markets : a two market heterogeneous agents model with destabilising spillover effects
Hommes, Cars H.; Vroegop, Joris - In: Journal of economic dynamics & control 100 (2019), pp. 314-333
Persistent link: https://www.econbiz.de/10012130975
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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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Trading volume and price distortion : an agent-based model with heterogenous knowledge of fundamentals
Lespagnol, Vivien; Rouchier, Juliette - In: Computational economics 51 (2018) 4, pp. 991-1020
Persistent link: https://www.econbiz.de/10011972211
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Nonlinear ensemble models to predict oil reserves and stock market returns in the presence of inherent uncertainty
Fiévet, Lucas - 2017
Persistent link: https://www.econbiz.de/10011858142
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An Explanation of Generic Behavior in an Evolving Financial Market
Joshi, Shareen; Bedau, Mark A. - Santa Fe Institute - 1998
the Ecos---from Ecology to Economics. …
Persistent link: https://www.econbiz.de/10005790623
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Analysts' and investors' reactions to conistent earnings signals
Caylor, Marcus L.; Chritensen, Theodore E.; Johnson, … - In: Journal of business finance & accounting : JBFA 42 (2015) 9/10, pp. 1041-1074
Persistent link: https://www.econbiz.de/10011535854
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Soybean futures crush spread arbitrage : trading strategies and market efficiency
Mitchell, John B. - In: Journal of risk and financial management : JRFM 3 (2010) 1, pp. 63-96
This paper revisits the soybean crush spread arbitrage work of Simon (1999) by studying a longer time period, wider variety of entry and exit limits, and the risk-return relationship between entry and exit limits. The lengths of winning and losing trades are found to differ systematically, with...
Persistent link: https://www.econbiz.de/10011556002