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The limit distribution of evolving strategies in financial markets

Chiarella, Carl; Di Guilmi, Corrado - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 19 (2015) 2, pp. 137-159

Persistent link: https://www.econbiz.de/10011313593

Herding, Trend Chasing and Market Volatility

Di Guilmi, Corrado - 2014

We introduce a heterogeneous agent asset pricing model in continuous-time to show that trend chasing, switching and herding all contribute to market volatility in price and return and volatility clustering, but their impact are different. On the one hand, the fluctuations of market price and...

Persistent link: https://www.econbiz.de/10013058172

Herding, trend chasing and market volatility

Di Guilmi, Corrado; He, Xue-zhong; Li, Kai - 2013

Persistent link: https://www.econbiz.de/10010213177

Herding, trend chasing and market volatility

Di Guilmi, Corrado; He, Xue-zhong; Li, Kai - In: Journal of economic dynamics & control 48 (2014), pp. 349-373

Persistent link: https://www.econbiz.de/10010486646

An empirical test of the Brennan-Schwartz bond pricing model in the Australian context

Chiarella, Carl; Mackenzie, David; Pham, Toan M. - In: Asia Pacific journal of management : APJM ; a … 7 (1990), pp. 1-24

Persistent link: https://www.econbiz.de/10001109261

Output, financial markets and growth : an extension of the blanchard stock market approach

Chiarella, Carl (contributor) - 2001

Persistent link: https://www.econbiz.de/10001585452

Output, financial markets and growth

Chiarella, Carl (contributor) - 2000

Persistent link: https://www.econbiz.de/10001524526

Solving the price-earnings puzzle

Chiarella, Carl; Goa, Shenhuai - 2002

Persistent link: https://www.econbiz.de/10001678540

Modelling the value of the S&P 500 : a system dynamics perspective

Chiarella, Carl; Goa, Shenhuai - 2002

Persistent link: https://www.econbiz.de/10001678544

A dynamic analysis of speculation across two markets

Chiarella, Carl; Dieci, Roberto; Gardini, Laura - In: The complex dynamics of economic interaction : essays …, (pp. 197-213). 2004

Persistent link: https://www.econbiz.de/10002415047

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