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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

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

Patterns of speculation : a study in observational econophysics

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

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

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

Predictable return distributions

Pedersen, Thomas Q. - In: Journal of forecasting 34 (2015) 2, pp. 114-132

Persistent link: https://www.econbiz.de/10011305289

Commodity value-at-risk modeling : comparing riskmetrics, historic simulation and quantile regression

Steen, Marie; Westgaard, Sjur; Gjølberg, Ole - In: The journal of risk model validation 9 (2015) 2, pp. 49-78

Persistent link: https://www.econbiz.de/10011326305

On the (ab)use of Omega?

Caporin, Massimiliano; Costola, Michele; Jannin, Gregory; … - 2015

Persistent link: https://www.econbiz.de/10011632567

"On the (Ab)use of Omega?"

Caporin, Massimiliano; Costola, Michele; Jannin, Gregory; … - In: Journal of empirical finance 46 (2018), pp. 11-33

Persistent link: https://www.econbiz.de/10012103452

Are green bonds different from ordinary bonds? : a statistical and quantitative point of view

Ma, Cong; Schoutens, Wim; Beirlant, Jan; De Spiegeleer, Jan - 2020

A green bond is a type of fixed-income security that raises money to invest in predetermined climate and environmental projects, in contrast to conventional debt instruments, where the use of proceeds is not specified in the terms. The difference in yield between a green bond and an otherwise...

Persistent link: https://www.econbiz.de/10012309964