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Modelling realized variance when returns are serially correlated
Oomen, Roel C. A. - 2004
Persistent link: https://www.econbiz.de/10002194843
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Wettbewerb, Liquidität und die Rolle von Intermediation im Wertpapierhandel
Freihube, Thorsten - 2004
Persistent link: https://www.econbiz.de/10002122262
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Excess volatility and herding in an artificial financial market : analytical approach and estimation
Alfarano, Simone; Lux, Thomas; Wagner, Friedrich - In: Funktionsfähigkeit und Stabilität von Finanzmärkten …, (pp. 241-259). 2005
Persistent link: https://www.econbiz.de/10003249990
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Modelling financial transaction price movements : a dynamic integer count data model
Liesenfeld, Roman; Nolte, Ingmar; Pohlmeier, Winfried - In: Empirical economics : a journal of the Institute for … 30 (2005) 4, pp. 795-825
Persistent link: https://www.econbiz.de/10003233759
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Time series properties from an artificial stock market with a Walrasian auctioneer
Stümpert, Thomas; Seese, Detlef; Sunderkötter, Malte - In: Artificial economics : agent-based methods in finance, …, (pp. 3-14). 2006
Persistent link: https://www.econbiz.de/10003174226
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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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Multiasset market dynamics
Westerhoff, Frank H. - In: Macroeconomic dynamics 8 (2004) 5, pp. 596-616
Persistent link: https://www.econbiz.de/10002450191
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Trading activity and liquidity supply in a pure limit order book market : an empirical analysis using a multivariate count data model
Grammig, Joachim; Heinen, Andréas; Rengifo, Erick W. - 2004
Persistent link: https://www.econbiz.de/10002390653
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Learning to predict rationally when beliefs are heterogeneous
Wenzelburger, Jan - In: Journal of economic dynamics & control 28 (2004) 10, pp. 2075-2104
Persistent link: https://www.econbiz.de/10002100159
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Decision rules and their influence on asset prices
Trifan, Emanuela (contributor) - 2004
This paper develops a market microstructure model with asymmetric information in order to quantify the influence which practical decision rules have on asset process. The users of practical decision rules have incomplete information at their disposal and trade in a market with both fully...
Persistent link: https://www.econbiz.de/10002510099