| Publication | Date of Publication | Type |
|---|
Remark on Algorithm 1012: computing projections with large datasets
ACM Transactions on Mathematical Software | 2024-09-12 | Paper |
Algorithm 1031: MQSI -- monotone quintic spline interpolation
ACM Transactions on Mathematical Software | 2024-09-06 | Paper |
Approximate Bayesian inference for agent-based models in economics: a case study
Studies in Nonlinear Dynamics & Econometrics | 2024-06-11 | Paper |
Estimation of regime-switching diffusions via Fourier transforms
Statistics and Computing | 2024-05-31 | Paper |
Algorithm 1028: VTMOP: Solver for Blackbox Multiobjective Optimization Problems
ACM Transactions on Mathematical Software | 2023-03-29 | Paper |
Least-squares solutions to polynomial systems of equations with quantum annealing
Quantum Information Processing | 2023-01-05 | Paper |
Peer effects in professional analysts' choice of their portfolio of companies
Quantitative Finance | 2022-11-18 | Paper |
The core of the global corporate network
Networks and Spatial Economics | 2022-04-22 | Paper |
Algorithm 1012
ACM Transactions on Mathematical Software | 2022-03-29 | Paper |
| Masanao Aoki's solution to the finite size effect of behavioral finance models | 2021-12-02 | Paper |
Interpolation of sparse high-dimensional data
Numerical Algorithms | 2021-08-24 | Paper |
Multilayer overlaps and correlations in the bank-firm credit network of Spain
Quantitative Finance | 2020-09-16 | Paper |
Contagion risk in the interbank market: a probabilistic approach to cope with incomplete structural information
Quantitative Finance | 2018-11-19 | Paper |
Emergence of a core-periphery structure in a simple dynamic model of the interbank market
Journal of Economic Dynamics and Control | 2018-11-15 | Paper |
Forecasting Daily Variations of Stock Index Returns with a Multifractal Model of Realized Volatility
Journal of Forecasting | 2018-10-12 | Paper |
Estimation of agent-based models using sequential Monte Carlo methods
Journal of Economic Dynamics and Control | 2018-08-13 | Paper |
A model of the topology of the bank -- firm credit network and its role as channel of contagion
Journal of Economic Dynamics and Control | 2018-08-10 | Paper |
Financial power laws: empirical evidence, models, and mechanisms
Chaos, Solitons and Fractals | 2017-02-10 | Paper |
Estimation of an agent-based model of investor sentiment formation in financial markets
Journal of Economic Dynamics and Control | 2016-09-28 | Paper |
Inference for systems of stochastic differential equations from discretely sampled data: a numerical maximum likelihood approach
Annals of Finance | 2014-11-12 | Paper |
Forecasting volatility under fractality, regime-switching, long memory and Student-\(t\) innovations
Computational Statistics and Data Analysis | 2014-04-14 | Paper |
Network analysis of the e-MID overnight money market: the informational value of different aggregation levels for intrinsic dynamic processes
Computational Management Science | 2014-03-10 | Paper |
Relative forecasting performance of volatility models: Monte Carlo evidence
Quantitative Finance | 2014-02-20 | Paper |
INDIVIDUAL EXPECTATIONS AND AGGREGATE BEHAVIOR IN LEARNING-TO-FORECAST EXPERIMENTS
Macroeconomic Dynamics | 2013-07-31 | Paper |
Switching rates and the asymptotic behavior of herding models
Advances in Complex Systems | 2011-07-27 | Paper |
Empirical validation of stochastic models of interacting agents
The European Physical Journal B. Condensed Matter and Complex Systems | 2010-06-25 | Paper |
| scientific article; zbMATH DE number 5666937 (Why is no real title available?) | 2010-02-05 | Paper |
Time variation of higher moments in a financial market with heterogeneous agents: an analytical approach
Journal of Economic Dynamics and Control | 2010-01-19 | Paper |
Estimation of agent-based models: The case of an asymmetric herding model
Computational Economics | 2009-05-29 | Paper |
Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching
Journal of Economic Dynamics and Control | 2009-05-18 | Paper |
MULTIFRACTALITY AND LONG-RANGE DEPENDENCE OF ASSET RETURNS: THE SCALING BEHAVIOR OF THE MARKOV-SWITCHING MULTIFRACTAL MODEL WITH LOGNORMAL VOLATILITY COMPONENTS
Advances in Complex Systems | 2009-02-24 | Paper |
A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY
Macroeconomic Dynamics | 2008-01-30 | Paper |
Genetic learning as an explanation of stylized facts of foreign exchange markets
Journal of Mathematical Economics | 2005-06-13 | Paper |
VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
International Journal of Theoretical and Applied Finance | 2000-01-01 | Paper |
Time variation of second moments from a noise trader/infection model
Journal of Economic Dynamics and Control | 1998-07-22 | Paper |
A note on the stability of endogenous cycles in Diamond's model of search and barter
Journal of Economics | 1993-04-01 | Paper |
