VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
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- A Rational Route to Randomness
- From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets
- Stability with regime switching
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- The Economics of Rumours
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- STABILITY ANALYSIS WITH APPLICATIONS OF A TWO-DIMENSIONAL DYNAMICAL SYSTEM ARISING FROM A STOCHASTIC MODEL FOR AN ASSET MARKET
- GARCH in spinor field
- Econometric analysis of microscopic simulation models
- Multiscale sample entropy and cross-sample entropy based on symbolic representation and similarity of stock markets
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- Fat tails and volatility clustering in experimental asset markets
- An introduction to statistical finance
- Weighted fractional permutation entropy and fractional sample entropy for nonlinear Potts financial dynamics
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- The role of communication and imitation in limit order markets
- Stylized facts from a threshold-based heterogeneous agent model
- Statistical regularities in the return intervals of volatility
- Herding behaviour and volatility clustering in financial markets
- Estimating a model of herding behavior on social networks
- Evolution of heterogeneous beliefs and asset overvaluation
- Investments in random environments
- Complex system analysis of market return percolation model on Sierpinski carpet lattice fractal
- Market heterogeneities and the causal structure of volatility
- Linking market interaction intensity of 3D Ising type financial model with market volatility
- Understanding the determinants of volatility clustering in terms of stationary Markovian processes
- Stochastic model of financial markets reproducing scaling and memory in volatility return intervals
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- Between complexity of modelling and modelling of complexity: an essay on econophysics
- Permutation entropy analysis of financial time series based on Hill's diversity number
- Complex price dynamics in a financial market with imitation
- Fundamentalists clashing over the book: a study of order-driven stock markets
- Target zone interventions and coordination of expectations
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- INDIVIDUAL EXPECTATIONS AND AGGREGATE BEHAVIOR IN LEARNING-TO-FORECAST EXPERIMENTS
- Simulation of a financial market: the possibility of catastrophic disequilibrium
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- Speculative behavior and the dynamics of interacting stock markets
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- Ising model of financial markets with many assets
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- Pairs trading with a mean-reverting jump-diffusion model on high-frequency data
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- Technical trading and the volatility of exchange rates
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- Trader Behavior and its Effect on Asset Price Dynamics
- Identification of market trends with string and D2-brane maps
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- Application of flocking mechanism to the modeling of stochastic volatility
- Loss aversion in an agent-based asset pricing model
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- Estimation of an agent-based model of investor sentiment formation in financial markets
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- Direct comparison of agent-based models of herding in financial markets
- Confirmation by robustness analysis: a Bayesian account
- HERD BEHAVIOR AND NONFUNDAMENTAL ASSET PRICE FLUCTUATIONS IN FINANCIAL MARKETS
- BUBBLES AND CRASHES: OPTIMISM, TREND EXTRAPOLATION AND PANIC
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- Animal spirits and monetary policy
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- Behavioral heterogeneity in the option market
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- Agent-based model calibration using machine learning surrogates
- Cognitive ability and earnings performance: evidence from double auction market experiments
- Commodity markets, price limiters and speculative price dynamics
- MONTE CARLO SIMULATION OF VOLATILITY CLUSTERING IN MARKET MODEL WITH HERDING
- Tobin tax and market depth
- The bounds of heavy-tailed return distributions in evolving complex networks
- Prices, debt and market structure in an agent-based model of the financial market
- An evolutionary game theory explanation of ARCH effects
- Time variation of higher moments in a financial market with heterogeneous agents: an analytical approach
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- Nonstationary linear processes with infinite variance GARCH errors
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