Documents Related by Co-Citation

210 Asset pricing under endogenous expectations in an artificial stock market – W. Brian Arthur, John H. Holland, Blake LeBaron, Richard Palmer, Paul Tayler - 1996
76 Volatility Clustering in Financial Markets: A MicroSimulation of Interacting Agents – T Marchesi M Lux
90 Time series properties of an artificial stock market – Blake LeBaron, W. Brian Arthur, Richard Palmer - 1999
86 The socio-economic dynamics of speculative markets: Interacting agents, chaos, and the fat tails of return distributions – T Lux - 1998
31 Bubbles, crashes and intermittency in agent based market models – Irene Giardina
149 Scaling and Criticality in a Stochastic Multi-Agent Model of a Financial – T Marchesi M Lux - 1999
41 Scaling of the distribution of price fluctuations of individual companies, Phys – V Plerou, P Gopikrishnan, L A N Amaral, M Meyer, H E Stanley - 1999
72 A theory of power-law distributions in financial market fluctuations – X Gabaix, P Gopikrishnan, V Plerou, H E Stanley - 2003
769 Autoregressive conditional heteroskedasticity with estimates of the United Kingdom inflation – R F Engle - 1982
730 Efficient Capital Markets: A Review of Theory and Empirical Work – E F Fama - 1970
226 Efficient Capital Markets – Eugene Fama - 1991
107 The econometrics of financial markets – A Pagan - 1996
571 The variation of certain speculative prices – B Mandelbrot - 1936
288 A long memory property of stock market returns and a new model – Z Ding, R F Engle, C W J Granger - 1993
173 Heterogeneous Beliefs and Routes to Chaos in a Simple Asset Pricing Model – William A. Brock, Cars H. Hommes - 1998
215 Simple technical trading rules and the stochastic properties of stock returns – William Brock, Josef Lakonishok, Blake LeBaron - 1992
43 Statistical properties of the volatility of price fluctuations – Yanhui Liu, Parameswaran Gopikrishnan, Pierre Cizeau, Martin Meyer, Chung-kang Peng, H. Eugene Stanley - 1999
75 Agent-based computational finance: Suggested readings and early research – Blake LeBaron - 2000
108 What moves stock prices – D M Cutler, J M Poterba, L H Summers - 1989