Complexity and the character of stock returns: empirical evidence and a model of asset prices based on complex investor learning
DOI10.1287/MNSC.1060.0622zbMATH Open1232.91721OpenAlexW2160237861MaRDI QIDQ3116129FDOQ3116129
Authors: S. C. Linn, Nicholas S. P. Tay 
Publication date: 21 February 2012
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/0886528c21f73a38a5e82162bd100213ab451402
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- scientific article; zbMATH DE number 5666937
Learning and adaptive systems in artificial intelligence (68T05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)
Cited In (17)
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- Models of asset returns: changes of pattern from high to low event frequency
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- On the principle of increasing complexity in portfolio formation on the stock exchange
- Financial market dynamics: superdiffusive or not?
- Processes for stocks capturing their statistical properties from one day to one year
- The origin of fat-tailed distributions in financial time series
- ASYMMETRY OF RETURNS IN THE AUSTRALIAN STOCK MARKET
- Self-similarity in long-horizon returns
- Power-law behaviour, heterogeneity, and trend chasing
- Fractality of profit landscapes and validation of time series models for stock prices
- A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY
- WHAT CAUSES PERSISTENCE OF STOCK RETURN VOLATILITY? ONE POSSIBLE EXPLANATION WITH AN ARTIFICIAL STOCK MARKET
- Empirical distributions of stock returns: between the stretched exponential and the power law?
- Explaining stock return distributions via an agent-based model
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