Similar Search Results

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

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

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

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

Patterns of speculation : a study in observational econophysics

Roehner, Bertrand M. - 2002 - 1. publ.

Persistent link: https://www.econbiz.de/10001632826

[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

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

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

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

Does Macroeconomics Need Microeconomic Foundations?

Da Silva, Sergio - 2009

The author argues that it is microeconomics that needs foundations, not macroeconomics. Preferences need to be built on biology, and, in particular, on neuroscience. In contrast, macroeconomics could benefit from rationalizations of aggregate economic phenomena by non-equilibrium statistical...

Persistent link: https://www.econbiz.de/10010298584