Nothing Special   »   [go: up one dir, main page]
create a website
The market nanostructure origin of asset price time reversal asymmetry. (2018). Challet, Damien ; Kassibrakis, Serge ; Cordi, Marcus.
In: Working Papers.
RePEc:hal:wpaper:hal-01966419.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 27

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. A. Lancichinetti and S. Fortunato. Community detection algorithms: a comparative analysis. Physical review E, 80(5):056117, 2009.
    Paper not yet in RePEc: Add citation now
  2. arXiv preprint physics/0507073, 2005.
    Paper not yet in RePEc: Add citation now

  3. C. H. Hommes. Heterogeneous agent models in economics and finance. Handbook of computational economics, 2:1109–1186, 2006.

  4. D. Challet, R. Chicheportiche, M. Lallouache, and S. Kassibrakis. Statistically validated lead-lag networks and inventory prediction in the foreign exchange market. Advances in Complex Systems, page 1850019, 2018. R. Chicheportiche and J.-P. Bouchaud. The fine-structure of volatility feedback I: Multi-scale selfreflexivity.

  5. D. Kroujiline, M. Gusev, D. Ushanov, S. V. Sharov, and B. Govorkov. Forecasting stock market returns over multiple time horizons. Quantitative Finance, 16(11):1695–1712, 2016.

  6. E. Bacry, I. Mastromatteo, and J.-F. Muzy. Hawkes processes in finance. Market Microstructure and Liquidity, 1(01):1550005, 2015.

  7. F. Musciotto, L. Marotta, J. Piilo, and R. N. Mantegna. Long-term ecology of investors in a financial market. Palgrave Communications, 4(1):92, 2018.

  8. G. Mosetti, D. Challet, and Y.-C. Zhang. Minority games with heterogeneous timescales. Physica A: Statistical Mechanics and its Applications, 365(2):529–542, 2006.

  9. G. Zumbach and P. Lynch. Heterogeneous volatility cascade in financial markets. Physica A: Statistical Mechanics and its Applications, 298(3-4):521–529, 2001.

  10. G. Zumbach. Time reversal invariance in finance. Quantitative Finance, 9(5):505–515, 2009.

  11. J. Boudoukh, M. P. Richardson, and R. Whitelaw. A tale of three schools: Insights on autocorrelations of short-horizon stock returns. Review of financial studies, 7(3):539–573, 1994.

  12. L. Gillemot, J. D. Farmer, and F. Lillo. There’s more to volatility than volume. Quantitative Finance, 6(5):371–384, 2006.

  13. M. Dacorogna, U. Müller, O. Pictet, and R. Olsen. Modelling short-term volatility with GARCH and HARCH models. 1998.
    Paper not yet in RePEc: Add citation now

  14. M. Marsili and M. Piai. Colored minority games. Physica A: Statistical Mechanics and its Applications, 310(1-2):234–244, 2002.

  15. M. Rosvall and C. T. Bergstrom. Maps of random walks on complex networks reveal community structure. Proceedings of the National Academy of Sciences, 105(4):1118–1123, 2008.
    Paper not yet in RePEc: Add citation now
  16. M. Tumminello, F. Lillo, J. Piilo, and R. N. Mantegna. Identification of clusters of investors from their real trading activity in a financial market. New Journal of Physics, 14(1):013041, 2012.
    Paper not yet in RePEc: Add citation now

  17. M. Tumminello, S. Micciche, F. Lillo, J. Piilo, and R. N. Mantegna. Statistically validated networks in bipartite complex systems. PloS one, 6(3):e17994, 2011.

  18. M.-X. Li, V. Palchykov, Z.-Q. Jiang, K. Kaski, J. Kertész, S. Miccichè, M. Tumminello, W.-X. Zhou, and R. N. Mantegna. Statistically validated mobile communication networks: the evolution of motifs in european and chinese data. New Journal of Physics, 16(8):083038, 2014.
    Paper not yet in RePEc: Add citation now

  19. N. Jegadeesh and S. Titman. Overreaction, delayed reaction, and contrarian profits. The Review of Financial Studies, 8(4):973–993, 1995.

  20. P. Blanc, J. Donier, and J.-P. Bouchaud. Quadratic Hawkes processes for financial prices. Quantitative Finance, 17(2):171–188, 2017. L. Borland and J.-P. Bouchaud. On a multi-timescale statistical feedback model for volatility fluctuations.

  21. P. K. Clark. A subordinated stochastic process model with finite variance for speculative prices. Econometrica, 41(1):135–155, 1973. ISSN 00129682, 14680262. URL http://www.jstor.org/stable/1913889. M. Cordi, D. Challet, and I. M. Toke. Testing the causality of Hawkes processes with time reversal.

  22. Physica A: Statistical Mechanics and its Applications, 410:174–195, 2014.
    Paper not yet in RePEc: Add citation now
  23. S. Ghashghaie, W. Breymann, J. Peinke, P. Talkner, and Y. Dodge. Turbulent cascades in foreign exchange markets. Nature, 381(6585):767, 1996.
    Paper not yet in RePEc: Add citation now

  24. T. Lux et al. Turbulence in financial markets: the surprising explanatory power of simple cascade models. Quantitative finance, 1(6):632–640, 2001. P. E. Lynch, G. O. Zumbach, et al. Market heterogeneities and the causal structure of volatility.

  25. U. A. Müller, M. M. Dacorogna, R. D. Davé, O. V. Pictet, R. B. Olsen, and J. R. Ward. Fractals and intrinsic time: A challenge to econometricians. Unpublished manuscript, Olsen & Associates, Zürich, 1993.
    Paper not yet in RePEc: Add citation now

  26. U. A. Müller, M. M. Dacorogna, R. D. Davé, R. B. Olsen, O. V. Pictet, and J. E. Von Weizsäcker. Volatilities of different time resolutions—analyzing the dynamics of market components. Journal of Empirical Finance, 4(2-3):213–239, 1997.

  27. Y. Benjamini and Y. Hochberg. Controlling the false discovery rate: a practical and powerful approach to multiple testing. Journal of the royal statistical society. Series B (Methodological), pages 289–300, 1995.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Booms, Busts and Behavioural Heterogeneity in Stock Prices. (2015). Hommes, Cars.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20150088.

    Full description at Econpapers || Download paper

  2. What affects the predictions of private forecasters? The role of central bank forecasts in Chile. (2015). Pedersen, Michael.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:31:y:2015:i:4:p:1043-1055.

    Full description at Econpapers || Download paper

  3. Learning from experience in the stock market. (2015). Nuño Barrau, Galo ; Nakov, Anton ; Nuo, Galo.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:52:y:2015:i:c:p:224-239.

    Full description at Econpapers || Download paper

  4. Monetary policy rules, asset prices and adaptive learning. (2013). Machado, Vicente ; Machado, Vicente da Gama, .
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:9:y:2013:i:3:p:251-258.

    Full description at Econpapers || Download paper

  5. Monetary Policy Transmission in a Model with Animal Spirits and House Price Booms and Busts. (2012). Mayer, Eric ; Gareis, Johannes ; Debes, Sebastian ; Bofinger, Peter.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8804.

    Full description at Econpapers || Download paper

  6. Endogenous equilibria in liquid markets with frictions and boundedly rational agents. (2011). tolotti, marco ; Fontini, Fulvio ; Sartori, Elena ; Pra, Paolo Dai .
    In: Working Papers.
    RePEc:vnm:wpdman:7.

    Full description at Econpapers || Download paper

  7. A Note on institutional hierarchy and volatility in financial markets. (2011). Raddant, Matthias ; Milaković, Mishael ; Alfarano, Simone.
    In: MPRA Paper.
    RePEc:pra:mprapa:30902.

    Full description at Econpapers || Download paper

  8. Prospect theory and risk appetite: an application to traders’ strategies in the financial market. (2010). Cao, Shi-Nan ; Deng, Jing ; Li, Hong Gang.
    In: Journal of Economic Interaction and Coordination.
    RePEc:spr:jeicoo:v:5:y:2010:i:2:p:249-259.

    Full description at Econpapers || Download paper

  9. Economics as a compartmental system: a simple macroeconomic example. (2010). Tramontana, Fabio.
    In: International Review of Economics.
    RePEc:spr:inrvec:v:57:y:2010:i:4:p:347-360.

    Full description at Econpapers || Download paper

  10. Seasonal Mackey–Glass–GARCH process and short-term dynamics. (2010). KYRTSOU, Catherine ; Terraza, Michel.
    In: Empirical Economics.
    RePEc:spr:empeco:v:38:y:2010:i:2:p:325-345.

    Full description at Econpapers || Download paper

  11. Heterogeneity in Stock Pricing: A STAR Model with Multivariate Transition Functions. (2010). Lof, Matthijs.
    In: MPRA Paper.
    RePEc:pra:mprapa:30520.

    Full description at Econpapers || Download paper

  12. The Complexity Era in Economics. (2010). Rosser, Barkley ; Colander, David ; Richard P. F. Holt, ; Richard P. F. Holt, .
    In: Middlebury College Working Paper Series.
    RePEc:mdl:mdlpap:1001.

    Full description at Econpapers || Download paper

  13. Some effects of transaction taxes under different microstructures. (2009). Westerhoff, Frank ; Pellizzari, Paolo.
    In: Working Papers.
    RePEc:vnm:wpaper:190.

    Full description at Econpapers || Download paper

  14. A Framework for CAPM with Heterogenous Beliefs. (2009). He, Xuezhong ; Chiarella, Carl ; Dieci, Roberto.
    In: Research Paper Series.
    RePEc:uts:rpaper:254.

    Full description at Econpapers || Download paper

  15. Smart predictors in the heterogeneous agent model. (2009). Vošvrda, Miloslav ; Vacha, Lukas ; Baruník, Jozef.
    In: Journal of Economic Interaction and Coordination.
    RePEc:spr:jeicoo:v:4:y:2009:i:2:p:163-172.

    Full description at Econpapers || Download paper

  16. Fundamentals and Technical Trading: Behavior of Exchange Rates in the CEECs. (2009). Fidrmuc, Jarko ; Bask, Mikael.
    In: Open Economies Review.
    RePEc:kap:openec:v:20:y:2009:i:5:p:589-605.

    Full description at Econpapers || Download paper

  17. Robust Taylor rules under heterogeneity in currency trade. (2009). Bask, Mikael ; Selander, Carina.
    In: International Economics and Economic Policy.
    RePEc:kap:iecepo:v:6:y:2009:i:3:p:283-313.

    Full description at Econpapers || Download paper

  18. Announcement effects on exchange rates. (2009). Bask, Mikael.
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:14:y:2009:i:1:p:64-84.

    Full description at Econpapers || Download paper

  19. Scale Invariance, Bounded Rationality and Non-Equilibrium Economics. (2009). Vazquez, Samuel E..
    In: Papers.
    RePEc:arx:papers:0902.3840.

    Full description at Econpapers || Download paper

  20. Short-time behaviour of demand and price viewed through an exactly solvable model for heterogeneous interacting market agents. (2009). Fernando Pigeard de Almeida Prado, ; Belitsky, Vladimir ; Harris, Rosemary J. ; Schutz, Gunter M..
    In: Papers.
    RePEc:arx:papers:0801.0003.

    Full description at Econpapers || Download paper

  21. Nonlinear oil price dynamics: a tale of heterogeneous speculators?. (2008). Reitz, Stefan ; Slopek, Ulf Dieter .
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:7552.

    Full description at Econpapers || Download paper

  22. Asset return and wealth dynamics with reference dependent preferences and heterogeneous beliefs. (2008). Gerasymchuk, Sergiy.
    In: Working Papers.
    RePEc:vnm:wpaper:160.

    Full description at Econpapers || Download paper

  23. Heterogeneity, Market Mechanisms, and Asset Price Dynamics. (2008). He, Xuezhong ; Chiarella, Carl ; Dieci, Roberto.
    In: Research Paper Series.
    RePEc:uts:rpaper:231.

    Full description at Econpapers || Download paper

  24. Incorporating positions into asset pricing models with order-based strategies. (2008). Asada, Toichiro ; Franke, Reiner.
    In: Journal of Economic Interaction and Coordination.
    RePEc:spr:jeicoo:v:3:y:2008:i:2:p:201-227.

    Full description at Econpapers || Download paper

  25. Frankfurt Artificial Stock Market: a microscopic stock market model with heterogeneous interacting agents in small-world communication networks. (2008). Hein, Oliver ; Schwind, Michael ; Spiwoks, Markus.
    In: Journal of Economic Interaction and Coordination.
    RePEc:spr:jeicoo:v:3:y:2008:i:1:p:59-71.

    Full description at Econpapers || Download paper

  26. A dynamic stochastic model of asset pricing with heterogeneous beliefs. (2008). Michetti, Elisabetta ; Cerqueti, Roy ; Brianzoni, Serena.
    In: Working Papers.
    RePEc:mcr:wpdief:wpaper00046.

    Full description at Econpapers || Download paper

  27. E&F Chaos: A User Friendly Software Package for Nonlinear Economic Dynamics. (2008). van der Weide, Roy ; Panchenko, Valentyn ; Hommes, Cars ; Diks, Cees.
    In: Computational Economics.
    RePEc:kap:compec:v:32:y:2008:i:1:p:221-244.

    Full description at Econpapers || Download paper

  28. The Use of Agent-Based Financial Market Models to Test the Effectiveness of Regulatory Policies. (2008). Westerhoff, Frank.
    In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
    RePEc:jns:jbstat:v:228:y:2008:i:2-3:p:195-227.

    Full description at Econpapers || Download paper

  29. Dispersion of Beliefs in the Foreign Exchange Market. (2008). Zwinkels, Remco ; Wolff, Christian ; Verschoor, Willem ; Zwinkels, Remco C. J., ; Jongen, Ron .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6738.

    Full description at Econpapers || Download paper

  30. Feedback Trading and Intermittent Market Turbulence. (2008). TAMBAKIS, DEMOSTHENES.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0847.

    Full description at Econpapers || Download paper

  31. Interest Rate Rules with Heterogeneous Expectations. (2008). Hommes, Cars ; Assenza, Tiziana ; Anufriev, Mikhail ; Massaro, D..
    In: CeNDEF Working Papers.
    RePEc:ams:ndfwpp:08-08.

    Full description at Econpapers || Download paper

  32. Disagreement and Biases in Inflation Expectations. (2008). Timmermann, Allan ; Capistrán, Carlos ; Capistran, Carlos .
    In: CREATES Research Papers.
    RePEc:aah:create:2008-56.

    Full description at Econpapers || Download paper

  33. The Interaction Between the Aggregate Behaviour of Technical Trading Systems and Stock Price Dynamics. (2007). Schulmeister, Stephan.
    In: WIFO Working Papers.
    RePEc:wfo:wpaper:y:2007:i:290.

    Full description at Econpapers || Download paper

  34. Asset price dynamics with small world interactions under hetereogeneous beliefs. (2007). Panchenko, Valentyn ; Gerasymchuk, Sergiy ; Pavlov, Oleg V..
    In: Working Papers.
    RePEc:vnm:wpaper:149.

    Full description at Econpapers || Download paper

  35. Some Effects of Transaction Taxes Under Different Microstructures. (2007). Westerhoff, Frank ; Pellizzari, Paolo ; Pelizzari, Paolo.
    In: Research Paper Series.
    RePEc:uts:rpaper:212.

    Full description at Econpapers || Download paper

  36. The Stochastic Dynamics of Speculative Prices. (2007). Zheng, Min ; Chiarella, Carl.
    In: Research Paper Series.
    RePEc:uts:rpaper:208.

    Full description at Econpapers || Download paper

  37. Price dynamics from a simple multiplicative random process model. (2007). Reimann, S..
    In: The European Physical Journal B: Condensed Matter and Complex Systems.
    RePEc:spr:eurphb:v:56:y:2007:i:4:p:381-394.

    Full description at Econpapers || Download paper

  38. Prices are macro-observables! Stylized facts from evolutionary finance. (2007). .
    In: Computational Economics.
    RePEc:kap:compec:v:29:y:2007:i:3:p:313-331.

    Full description at Econpapers || Download paper

  39. Asset Prices, Traders Behavior, and Market Design. (2007). Panchenko, Valentyn ; Anufriev, Mikhail.
    In: CeNDEF Working Papers.
    RePEc:ams:ndfwpp:07-14.

    Full description at Econpapers || Download paper

  40. Complexity, Evolution and Learning: a simple story of heterogeneous expectations and some empirical and experimental validation.. (2007). Hommes, Cars.
    In: CeNDEF Working Papers.
    RePEc:ams:ndfwpp:07-07.

    Full description at Econpapers || Download paper

  41. Bounded Rationality and Learning in Complex Markets. (2007). Hommes, Cars.
    In: CeNDEF Working Papers.
    RePEc:ams:ndfwpp:07-01.

    Full description at Econpapers || Download paper

  42. Memory and Asset Pricing Models with Heterogeneous Beliefs. (2006). Verbič, Miroslav.
    In: MPRA Paper.
    RePEc:pra:mprapa:1261.

    Full description at Econpapers || Download paper

  43. E&F Chaos: a user friendly software package for nonlinear economic dynamics. (2006). van der Weide, Roy ; Panchenko, Valentyn ; Hommes, Cars ; Diks, Cees.
    In: CeNDEF Working Papers.
    RePEc:ams:ndfwpp:06-15.

    Full description at Econpapers || Download paper

  44. More hedging instruments may destabilize markets. (2006). Wagener, Florian ; Hommes, Cars ; Brock, William.
    In: CeNDEF Working Papers.
    RePEc:ams:ndfwpp:06-12.

    Full description at Econpapers || Download paper

  45. Informational differences and learning in an asset market with boundedly rational agents. (2006). Dindo, Pietro ; Diks, Cees.
    In: CeNDEF Working Papers.
    RePEc:ams:ndfwpp:06-11.

    Full description at Econpapers || Download paper

  46. Interacting agents in finance, entry written for the New Palgrave Dictionary of Economics, Second Edition, edited by L. Blume and S. Durlauf, Palgrave Macmillan, forthcoming 2006.. (2006). Hommes, Cars.
    In: CeNDEF Working Papers.
    RePEc:ams:ndfwpp:06-01.

    Full description at Econpapers || Download paper

  47. Wealth-Driven Competition in a Speculative Financial Market: Examples with Maximizing Agents. (2005). Anufriev, Mikhail.
    In: LEM Papers Series.
    RePEc:ssa:lemwps:2005/27.

    Full description at Econpapers || Download paper

  48. Wealth-Driven Competition in a Speculative Financial Market: Examples With Maximizing Agents. (2005). Anufriev, Mikhail.
    In: CeNDEF Working Papers.
    RePEc:ams:ndfwpp:05-17.

    Full description at Econpapers || Download paper

  49. Adaptive Rational Equilibrium with Forward Looking Agents, fortcoming in International Journal of Economic Theory (IJET) 2006, special issue in honor of Jean-Michel Grandmont.. (2005). Hommes, Cars ; Dindo, Pietro ; Brock, William.
    In: CeNDEF Working Papers.
    RePEc:ams:ndfwpp:05-15.

    Full description at Econpapers || Download paper

  50. Bifurcation Routes to Volatility Clustering under Evolutionary Learning. (2003). Wagener, Florian ; Hommes, Cars ; Gaunersdorfer, A..
    In: CeNDEF Working Papers.
    RePEc:ams:ndfwpp:03-03.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-16 22:15:19 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.