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Heterogeneous speculators and stock market dynamics : a simple agent-based computational model
Schmitt, Noemi; Schwartz, Ivonne; Westerhoff, Frank H. - 2020
We propose a simple agent-based computational model in which speculators' trading behavior may cause bubbles and crashes, excess volatility, serially uncorrelated returns, fat-tailed return distributions and volatility clustering, thereby replicating five important stylized facts of stock...
Persistent link: https://www.econbiz.de/10012257370
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Heterogeneous speculators and stock market dynamics : a simple agent-based computational model
Schmitt, Noemi; Schwartz, Ivonne; Westerhoff, Frank H. - In: The European journal of finance 28 (2022) 13/15, pp. 1263-1282
Persistent link: https://www.econbiz.de/10013532181
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The 2006–2008 oil bubble: Evidence of speculation, and prediction
Sornette, Didier; Woodard, Ryan; Zhou, Wei-Xing - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 8, pp. 1571-1576
of uncertainty, and there is no better fuel than uncertainty to promote speculation! Our post-crash analysis confirms …
Persistent link: https://www.econbiz.de/10010589949
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Stochastic behavioral asset pricing models and the stylized facts
Lux, Thomas - 2008
High-frequency financial data are characterized by a set of ubiquitous statistical properties that prevail with surprising uniformity. While these 'stylized facts' have been well-known for decades, attempts at their behavioral explanation have remained scarce. However, recently a new branch of...
Persistent link: https://www.econbiz.de/10010273169
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The Minsky moment as the revenge of entropy
Rosser, John Barkley - In: Macroeconomic dynamics 24 (2020) 1, pp. 7-23
Persistent link: https://www.econbiz.de/10012163564
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Patterns of speculation : a study in observational econophysics
Roehner, Bertrand M. - 2002 - 1. publ.
Persistent link: https://www.econbiz.de/10001632826
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[Rezension von: Roehner, Bertrand Marie, Patterns of speculation, a study in observational econophysics]
De Bondt, Werner Franciscus Marcel - In: Journal of economic literature 42 (2004) 3, pp. 838-840
Persistent link: https://www.econbiz.de/10002389030
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Speculative bubbles in Bitcoin markets? : an empirical investigation into the fundamental value of Bitcoin
Cheah, Eng-Tuck; Fry, John - In: Economics letters 130 (2015), pp. 32-36
Persistent link: https://www.econbiz.de/10011422365
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Patterns of speculation : a study in observational econophysics
Roehner, Bertrand M. - 2002 - 1. publ.
Cover -- Half-title -- Title -- Copyright -- Contents -- Preface -- Part I Econophysics -- 1 Why econophysics? -- 1 … comparative analysis -- 2 The beginnings of econophysics -- 1 Pre-econophysics -- 1.1 Pre-econophysicists -- 1.1.1 Quételet (1796 ….2 Assessment of pre-econophysics -- 2 Institutional econophysics -- 2.1 Idiosyncrasies of economic journals -- 2.2 The beginnings …
Persistent link: https://www.econbiz.de/10012681273
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On the (Ab)Use of Omega?
Maillet, Bertrand; Costola, Michele; Caporin, Massimiliano - Dipartimento di Economia, Università Ca' Foscari Venezia - 2015
Several recent finance articles employ the Omega measure, proposed by Keating and Shadwick (2002) - defined as a ratio of potential gains out of possible losses - for gauging the performance of funds or active strategies (e.g. Eling and Schuhmacher, 2007; Farinelli and Tibiletti, 2008; Annaert et al., 2009;...
Persistent link: https://www.econbiz.de/10011200015