create a website

DYNAMIC PREDICTOR SELECTION AND ORDER SPLITTING IN A LIMIT ORDER MARKET. (2019). Yamamoto, Ryuichi.
In: Macroeconomic Dynamics.
RePEc:cup:macdyn:v:23:y:2019:i:05:p:1757-1792_00.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 58

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

    References contributed by pfo235-2404935

  1. Alfarano, S., Lux, T., and Wagner, F. (2008) Time variation of higher moments in financial markets with heterogeneous agents: An analytical approach. Journal of Economic Dynamics and Control 32, 101–136. Alfi, V., Cristelli, M., Pietronero, L., and Zaccaria, A. (2009) Minimal agent based model for financial markets. European Physical Journal B 67, 385–397.

  2. Alfonsi, A., Fruth, A., and Schied, A. (2010) Optimal execution strategies in limit order books with general shape functions. Quantitative Finance 10, 143–157.

  3. Almgren, R. and Chriss, N. (2000) Optimal execution of portfolio transactions. Journal of Risk 3, 5–39.
    Paper not yet in RePEc: Add citation now
  4. Almgren, R. and Lorenz, J. (2007) Adaptive arrival price. In Bruce, B. R. (ed.), Algorithmic Trading III: Precision, Control, Execution. New York: Institutional Investor Journals.
    Paper not yet in RePEc: Add citation now
  5. Anufriev, M. and Panchenko, V. (2009) Asset prices, traders' behavior and market design. Journal of Economic Dynamics and Control 33, 1073–1090.

  6. Anufriev, M., Arifovic, J., Ledyard, J., and Panchenko, V. (2013) Efficiency of continuous double auctions under individual evolutionary learning with full or limited information. Journal of Evolutionary Economics, 23, 539–573.

  7. Bershova, N. and Rakhlin, D. (2013) The non-linear market impact of large trades: Evidence from buy-side order flow. Quantitative Finance 13, 1759–1778.

  8. Bertsimas, D. and Lo, A. (1998) Optimal control of execution costs. Journal of Financial Markets 1, 1–50.

  9. Bessembinder, H., Panayides, M. A., and Venkataraman, K. (2009) Hidden liquidity: An analysis of order exposure strategies in electronic stock markets. Journal of Financial Economics 94, 361–383.

  10. Biais, B., Hillion, P., and Spatt, C. (1995) An empirical analysis of the limit order book and the order flow in the Paris Bourse. Journal of Finance 50, 1655–1689.

  11. Boswijk, H. P., Hommes, C. H., and Manzan, S. (2007) Behavioral heterogeneity in stock prices. Journal of Economic Dynamics and Control 31, 1938–1970.

  12. Bouchaud, J.-P., Gefen, Y., Potters, M., and Wyart, M. (2004) Fluctuations and response in financial markets: The subtle nature of ‘random’ price changes. Quantitative Finance 4, 176–190.

  13. Brock, W. A. and Hommes, C. H. (1997) A rational route to randomness. Econometrica 65, 1059–1095.

  14. Brock, W. and Hommes, C. (1998) Heterogeneous beliefs and routes to chaos in a simple asset pricing model. Journal of Economic Dynamics and Control 22, 1235–1274.

  15. Chen, S.-H., Chang, C.-L., and Du, Y.-R. (2012) Agent-based economic models and econometrics. Knowledge Engineering Review 27 (2), 187–219.
    Paper not yet in RePEc: Add citation now
  16. Chiarella, C., He, X.-Z., and Wei, L. (2015) Learning, information processing and order submission in limit order markets. Journal of Economic Dynamics and Control 61, 245–268.

  17. Chiarella, C., Iori, G., and Perelló, J. (2009) The impact of heterogeneous trading rules on the limit order book and order flows. Journal of Economic Dynamics and Control 33, 525–537.

  18. Ding, Z., Granger, C., and Engle, R. (1993) A long memory property of stock market returns and a new model. Journal of Empirical Finance 1, 83–106.

  19. Duong, H. N., Kalev, P., and Krishnamurti, C. (2009) Order aggressiveness of institutional and individual investors. Pacific-Basin Finance Journal 17, 533–546.

  20. Farmer, J. D. and Lillo, F. (2004) On the origin of power laws in financial markets. Quantitative Finance 4, C7–C10.
    Paper not yet in RePEc: Add citation now
  21. Foucault, T., Kadan, O., and Kandel, E. (2005) Limit order book as a market for liquidity. Review of Financial Studies 18, 1171–1217.

  22. Frankel, J. A. and Froot, K. A. (1990) Chartists, fundamentalists and the demand for dollars. In Courakis, A. S. and Taylor, M. P. (eds.), Private Behaviour and Government Policy in Interdependent Economies, pp. 73–126. New York: Oxford University Press.
    Paper not yet in RePEc: Add citation now
  23. Goettler, R., Parlour, C., and Rajan, U. (2005) Equilibrium in a dynamic limit order market. Journal of Finance 60, 2149–2192.

  24. Gomes, C. and Waelbroeck, H. (2015) Is market impact a measure of the information value of trades? Market response to liquidity vs. informed metaorders. Quantitative Finance 15, 773–793.

  25. Gould, M., Porter, M., Williams, S., Fenn, D., and Howison, S. D. (2013) Limit order books. Quantitative Finance 13 (11), 1709–1742.

  26. Griffiths, M., Smith, B., Turnbull, A., and White, R. (2000) The costs and the determinants of order aggressiveness. Journal of Financial Economics 56, 65–88.

  27. Hall, A. and Hautsch, N. (2006). Order aggressiveness and order book dynamics. Empirical Economics 30, 973–1005.

  28. Handa, P., Schwartz, R., and Tiwari, A. (2003). Quote setting and price formation in an order driven market. Journal of Financial Markets 6, 461–489.

  29. Hommes, C. H. (2006) Heterogeneous agent models in economics and finance. In Tesfatsion, L. and Judd, K. L. (eds.), Handbook of Computational Economics: Vol. 2. Agent-Based Computational Economics, pp. 1109–1186. Amsterdam: North-Holland.

  30. Kirman, A. (1993) Ants, rationality, and recruitment. Quarterly Journal of Economics 108, 137–156.

  31. Kovaleva, P. and Iori, G. (2015) The impact of reduced pre-trade transparency regimes on market quality. Journal of Economic Dynamics and Control 57, 145–162.

  32. LeBaron, B. (2001) Evolution and time horizons in an agent based stock market. Macroeconomic Dynamics 5, 225–254.

  33. LeBaron, B. (2006) Agent-based computational finance. In Tesfatsion, L. and Judd, K. L. (eds.), Handbook of Computational Economics: Vol. 2. Agent-Based Computational Economics, vol. 2, pp. 1187–1233. Amsterdam: North-Holland.

  34. LeBaron, B., Arthur, B., and Palmer, R. (1999) Time series properties of an artificial stock market. Journal of Economic Dynamics and Control 23, 1487–1516.

  35. Lillo, F. and Farmer, D. (2004) The long memory of the efficient market. Studies in Nonlinear Dynamics & Econometrics 8, Article 1.

  36. Lillo, F., Mike, S., and Farmer, D. (2005) Theory for long memory in supply and demand. Physical Review E 71, 066122.

  37. Lorenz, J. and Almgren, R. (2011) Mean-variance optimal adaptive execution. Applied Mathematical Finance 18, 395–422.

  38. Lui, Y.-H. and Mole, D. (1998) The use of fundamental and technical analysis by foreign exchange dealers: Hong Kong evidence. Journal of International Money and Finance 17, 535–545.

  39. Lux, T. (1995) Herd behavior, bubbles and crashes. Economic Journal 105, 881–896.

  40. Lux, T. (2001) The limiting extremal behaviour of speculative returns: An analysis of intra-daily data from the Frankfurt stock exchange. Applied Financial Economics 11, 299–315.

  41. Lux, T. and Marchesi, M. (2000) Volatility clustering in financial markets: A microsimulation of interacting agents. International Journal of Theoretical and Applied Finance 3, 675–702.

  42. Mandelbrot, B. (1972) Statistical methodology for non-periodic cycles: From the covariance to R/S analysis. Annals of Economic and Social Measurements 1, 259–290.

  43. Menkhoff, L. (2010) The use of technical analysis by fund managers: International evidence. Journal of Banking and Finance 34, 2573–2586.

  44. Menkhoff, L. and Taylor, M. (2007) The obstinate passion of foreign exchange professionals: Technical analysis. Journal of Economic Literature 45, 936–972.

  45. Mike, S. and Farmer, D. (2008) An empirical behavioral model of liquidity and volatility. Journal of Economic Dynamics and Control 32, 200–234.

  46. Obizhaeva, A. (2008) Information vs. Liquidity: Evidence from Portfolio Transition Trades. Available at: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=965743.
    Paper not yet in RePEc: Add citation now
  47. Obizhaeva, A. and Wang, J. (2005). Optimal Trading Strategy and Supply/Demand Dynamics. NBER working paper 11444.
    Paper not yet in RePEc: Add citation now
  48. Parlour, C. (1998) Price dynamics in limit order markets. Review of Financial Studies 11, 789–816.

  49. Perold, A. F. (1988) The implementation shortfall: Paper versus reality. Journal of Portfolio Management 14, 4–9.
    Paper not yet in RePEc: Add citation now
  50. Ranaldo, A. (2004) Order aggressiveness in limit order book markets. Journal of Financial Markets 7, 53–74.

  51. Roşu, I. (2009) A dynamic model of the limit order book. Review of Financial Studies 22, 4601–4641.
    Paper not yet in RePEc: Add citation now
  52. Tóth, B., Palit, I., Lillo, F., and Farmer, D. (2015) Why is order flow so persistent?. Journal of Economic Dynamics and Control 51, 218–239.

  53. Taranto, D. E., Bormetti, G., and Lillo, F. (2014). The adaptive nature of liquidity taking in limit order books. Journal of Statistical Mechanics: Theory and Experiment.

  54. Tedeschi, G., Iori, G., and Gallegati, M. (2012) Herding effects in order driven markets: The rise and fall of gurus. Journal of Economic Behavior & Organization 81, 82–96.

  55. Vaglica, G., Lillo, F., Moro, E., and Mantegna, R. (2008) Scaling laws of strategic behaviour and size heterogeneity in agent dynamics. Physical Review E 77, 036110.
    Paper not yet in RePEc: Add citation now
  56. Yamamoto, R. (2011) Order aggressiveness, pre-trade transparency, and long memory in an order-driven market. Journal of Economic Dynamics and Control 35, 1938–1963.

  57. Yamamoto, R. and LeBaron, B. (2010) Order-splitting and long-memory in an order-driven market. European Physical Journal B 73, 51–57.

  58. Zarinelli, E., Treccani, M., Farmer, D., and Lillo, F. (2015). Beyond the square root: Evidence for logarithmic dependence of market impact on size and participation rate. Market Microstructure and Liquidity 1, 1550004.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. An analytical solution for network models with heterogeneous and interacting agents. (2020). Stiglitz, Joseph ; Gallegati, Mauro ; Di Guilmi, Corrado ; Landini, S.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:171:y:2020:i:c:p:189-220.

    Full description at Econpapers || Download paper

  2. Stylized Facts and Agent-Based Modeling. (2019). Trimborn, Torsten ; Cramer, Simon.
    In: Papers.
    RePEc:arx:papers:1912.02684.

    Full description at Econpapers || Download paper

  3. Informative Contagion Dynamics in a Multilayer Network Model of Financial Markets. (2017). Rapisarda, Andrea ; Biondo, Alessio Emanuele ; Pluchino, Alessandro.
    In: Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti.
    RePEc:spr:italej:v:3:y:2017:i:3:d:10.1007_s40797-017-0052-4.

    Full description at Econpapers || Download paper

  4. The dynamics of leverage in a demand-driven model with heterogeneous firms. (2017). Di Guilmi, Corrado ; Barbosa de Carvalho, Laura.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:140:y:2017:i:c:p:70-90.

    Full description at Econpapers || Download paper

  5. Trading Heterogeneity Under Information Uncertainty. (2016). Zheng, Huanhuan.
    In: Research Paper Series.
    RePEc:uts:rpaper:373.

    Full description at Econpapers || Download paper

  6. Uncertainty, rationality and complexity in a multi sectoral dynamic model: the Dynamic Stochastic Generalized Aggregation approach. (2016). Di Guilmi, Corrado ; Catalano, Michele.
    In: CAMA Working Papers.
    RePEc:een:camaaa:2016-16.

    Full description at Econpapers || Download paper

  7. Stochastic model of financial markets reproducing scaling and memory in volatility return intervals. (2016). Gontis, V ; Havlin, S ; Stanley, H E ; Podobnik, B ; Kononovicius, A.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:462:y:2016:i:c:p:1091-1102.

    Full description at Econpapers || Download paper

  8. Trading heterogeneity under information uncertainty. (2016). Zheng, Huanhuan.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:130:y:2016:i:c:p:64-80.

    Full description at Econpapers || Download paper

  9. Microfoundations for switching behavior in heterogeneous agent models: An experiment. (2016). Tuinstra, Jan ; Bao, Te ; Anufriev, Mikhail.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:129:y:2016:i:c:p:74-99.

    Full description at Econpapers || Download paper

  10. Breaking down the barriers between econophysics and financial economics. (2016). Jovanovic, Franck ; Schinckus, Christophe.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:47:y:2016:i:c:p:256-266.

    Full description at Econpapers || Download paper

  11. Bringing an elementary agent-based model to the data: Estimation via GMM and an application to forecasting of asset price volatility. (2016). Lux, Thomas ; Ghonghadze, Jaba.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:37:y:2016:i:c:p:1-19.

    Full description at Econpapers || Download paper

  12. Modeling and Simulation of the Economics of Mining in the Bitcoin Market. (2016). Marchesi, Michele ; Cocco, Luisanna.
    In: Papers.
    RePEc:arx:papers:1605.01354.

    Full description at Econpapers || Download paper

  13. The noisy voter model on complex networks. (2016). Toral, Ra'Ul ; san Miguel, Maxi ; Carro, Adri'An .
    In: Papers.
    RePEc:arx:papers:1602.06935.

    Full description at Econpapers || Download paper

  14. Bringing an elementary agent-based model to the data: Estimation via GMM and an application to forecasting of asset price volatility. (2015). Lux, Thomas ; Ghonghadze, Jaba.
    In: FinMaP-Working Papers.
    RePEc:zbw:fmpwps:38.

    Full description at Econpapers || Download paper

  15. Estimation of sentiment effects in financial markets: A simulated method of moments approach. (2015). Chen, Zhenxi ; Lux, Thomas ; Zhenxi, Chen .
    In: FinMaP-Working Papers.
    RePEc:zbw:fmpwps:37.

    Full description at Econpapers || Download paper

  16. A review of aggregation techniques for agent-based models: understanding the presence of long-term memory. (2015). Cerqueti, Roy ; Rotundo, Giulia.
    In: Quality & Quantity: International Journal of Methodology.
    RePEc:spr:qualqt:v:49:y:2015:i:4:p:1693-1717.

    Full description at Econpapers || Download paper

  17. A comparison of U.S and Chinese financial market microstructure: heterogeneous agent-based multi-asset artificial stock markets approach. (2015). Wang, LI ; Yang, Haijun ; Sun, Gui .
    In: Journal of Evolutionary Economics.
    RePEc:spr:joevec:v:25:y:2015:i:5:p:901-924.

    Full description at Econpapers || Download paper

  18. Identification of Social Interaction Effects in Financial Data. (2015). Jang, Tae-Seok.
    In: Computational Economics.
    RePEc:kap:compec:v:45:y:2015:i:2:p:207-238.

    Full description at Econpapers || Download paper

  19. Transition probability, dynamic regimes, and the critical point of financial crisis. (2015). Tang, Yinan ; Chen, Ping.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:430:y:2015:i:c:p:11-20.

    Full description at Econpapers || Download paper

  20. Markets, herding and response to external information. (2015). Toral, Ra'Ul ; san Miguel, Maxi ; Carro, Adri'An .
    In: Papers.
    RePEc:arx:papers:1506.03708.

    Full description at Econpapers || Download paper

  21. Herding interactions as an opportunity to prevent extreme events in financial markets. (2015). Gontis, Vygintas ; Kononovicius, Aleksejus.
    In: Papers.
    RePEc:arx:papers:1409.8024.

    Full description at Econpapers || Download paper

  22. Microfoundations for Switching Behavior in Heterogeneous Agent Models: An Experiment. (2015). Tuinstra, Jan ; Bao, Te ; Anufriev, Mikhail.
    In: CeNDEF Working Papers.
    RePEc:ams:ndfwpp:15-09.

    Full description at Econpapers || Download paper

  23. Asset Price Dynamics with Heterogeneous Beliefs and Time Delays. (2014). Li, Kai.
    In: PhD Thesis.
    RePEc:uts:finphd:13.

    Full description at Econpapers || Download paper

  24. Beauty Contests and Fat Tails in Financial Markets. (2014). Nirei, Makoto ; Watanabe, Tsutomu.
    In: UTokyo Price Project Working Paper Series.
    RePEc:upd:utppwp:024.

    Full description at Econpapers || Download paper

  25. A multi-agent model of a low income economy: simulating the distributional effects of natural disasters. (2014). Rehm, Miriam ; Naqvi, Asjad.
    In: Journal of Economic Interaction and Coordination.
    RePEc:spr:jeicoo:v:9:y:2014:i:2:p:275-309.

    Full description at Econpapers || Download paper

  26. Heterogeneity, interaction and emergence: effects of composition. (2014). Gallegati, Mauro ; Landini, Simone.
    In: International Journal of Computational Economics and Econometrics.
    RePEc:ids:ijcome:v:4:y:2014:i:3/4:p:339-361.

    Full description at Econpapers || Download paper

  27. Control of the socio-economic systems using herding interactions. (2014). Gontis, V. ; Kononovicius, A..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:405:y:2014:i:c:p:80-84.

    Full description at Econpapers || Download paper

  28. Time varying moments, regime switch, and crisis warning: The birth–death process with changing transition probability. (2014). Tang, Yinan ; Chen, Ping.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:404:y:2014:i:c:p:56-64.

    Full description at Econpapers || Download paper

  29. Herding, trend chasing and market volatility. (2014). Li, Kai ; He, Xuezhong (Tony) ; Di Guilmi, Corrado.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:48:y:2014:i:c:p:349-373.

    Full description at Econpapers || Download paper

  30. Beauty Contests and Fat Tails in Financial Markets. (2014). Nirei, Makoto ; Watanabe, Tsutomu.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf346.

    Full description at Econpapers || Download paper

  31. Using an Artificial Financial Market for studying a Cryptocurrency Market. (2014). Marchesi, Michele ; Cocco, Luisanna ; Concas, Giulio.
    In: Papers.
    RePEc:arx:papers:1406.6496.

    Full description at Econpapers || Download paper

  32. Estimation of an agent-based model of investor sentiment formation in financial markets. (2012). Lux, Thomas.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:36:y:2012:i:8:p:1284-1302.

    Full description at Econpapers || Download paper

  33. Reconstructing Aggregate Dynamics in Heterogeneous Agents Models. A Markovian Approach. (2012). Gallegati, Mauro ; Di Guilmi, Corrado ; Delli Gatti, Domenico ; Landini, Simone.
    In: Revue de l'OFCE.
    RePEc:cai:reofsp:reof_124_0117.

    Full description at Econpapers || Download paper

  34. Agent-based Versus Macroscopic Modeling of Competition and Business Processes in Economics and Finance. (2012). Gontis, Vygintas ; Daniunas, Valentas ; Kononovicius, Aleksejus.
    In: Papers.
    RePEc:arx:papers:1202.3533.

    Full description at Econpapers || Download paper

  35. The class of nonlinear stochastic models as a background for the bursty behavior in financial markets. (2012). Gontis, Vygintas ; Reimann, Stefan ; Kononovicius, Aleksejus.
    In: Papers.
    RePEc:arx:papers:1201.3083.

    Full description at Econpapers || Download paper

  36. Market clearing by maximum entropy in agent models of stock markets. (2011). Wagner, Friedrich.
    In: Journal of Economic Interaction and Coordination.
    RePEc:spr:jeicoo:v:6:y:2011:i:2:p:121-138.

    Full description at Econpapers || Download paper

  37. The financial instability hypothesis: A stochastic microfoundation framework. (2011). Di Guilmi, Corrado ; Chiarella, Carl.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:35:y:2011:i:8:p:1151-1171.

    Full description at Econpapers || Download paper

  38. Critical Overview of Agent-Based Models for Economics. (2011). Cristelli, Matthieu ; Pietronero, L. ; Zaccaria, A..
    In: Papers.
    RePEc:arx:papers:1101.1847.

    Full description at Econpapers || Download paper

  39. Switching rates and the asymptotic behavior of herding models. (2010). Milaković, Mishael ; Kauschke, Jonas ; Irle, Albrecht ; Lux, Thomas.
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:1595.

    Full description at Econpapers || Download paper

  40. Uncertainty about fundamentals and herding behavior in the FOREX market. (2010). Rovira Kaltwasser, Pablo.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:389:y:2010:i:6:p:1215-1222.

    Full description at Econpapers || Download paper

  41. From discrete to continuous time evolutionary finance models. (2010). Schenk-Hoppé, Klaus ; Schenk-Hoppe, Klaus Reiner ; Palczewski, Jan.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:34:y:2010:i:5:p:913-931.

    Full description at Econpapers || Download paper

  42. A queueing theory description of fat-tailed price returns in imperfect financial markets. (2010). Lamba, H..
    In: Papers.
    RePEc:arx:papers:0908.0949.

    Full description at Econpapers || Download paper

  43. Network hierarchy in Kirmans ant model: fund investment can create systemic risk. (2009). Raddant, Matthias ; Milaković, Mishael ; Alfarano, Simone ; Milakovic, Mishael .
    In: Economics Working Papers.
    RePEc:zbw:cauewp:200909.

    Full description at Econpapers || Download paper

  44. Heterogeneity in exchange rate expectations: Evidence on the chartist-fundamentalist approach. (2009). Schröder, Michael ; Menkhoff, Lukas ; Rebitzky, Rafael R. ; Schroder, Michael.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:70:y:2009:i:1-2:p:241-252.

    Full description at Econpapers || Download paper

  45. Editorial introduction of the special issue: Energy sector pricing and macroeconomic dynamics. (2009). Malliaris, Anastasios ; KYRTSOU, Catherine.
    In: Energy Economics.
    RePEc:eee:eneeco:v:31:y:2009:i:6:p:825-826.

    Full description at Econpapers || Download paper

  46. Network structure and N-dependence in agent-based herding models. (2009). Milaković, Mishael ; Alfarano, Simone ; Milakovic, Mishael .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:33:y:2009:i:1:p:78-92.

    Full description at Econpapers || Download paper

  47. Business cycle synchronization in a simple Keynesian macro-model with socially transmitted economic sentiment and international sentiment spill-over. (2008). Westerhoff, Frank ; Hohnisch, Martin.
    In: Structural Change and Economic Dynamics.
    RePEc:eee:streco:v:19:y:2008:i:3:p:249-259.

    Full description at Econpapers || Download paper

  48. Re-examining the sources of heteroskedasticity: The paradigm of noisy chaotic models. (2008). KYRTSOU, Catherine.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:387:y:2008:i:27:p:6785-6789.

    Full description at Econpapers || Download paper

  49. Financial power laws: Empirical evidence, models, and mechanism. (2006). Lux, Thomas.
    In: Economics Working Papers.
    RePEc:zbw:cauewp:5159.

    Full description at Econpapers || Download paper

  50. A multilayer model of order book dynamics. (). Rapisarda, Andrea ; Pluchino, Alessandro ; Biondo, Alessio Emanuele.
    In: Journal of Network Theory in Finance.
    RePEc:rsk:journ8:2472271.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-10-05 07:27:12 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.