메뉴 건너뛰기




Volumn 4, Issue 2, 2004, Pages 176-190

Fluctuations and response in financial markets: The subtle nature of ‘random’ price changes

Author keywords

[No Author keywords available]

Indexed keywords


EID: 1542429580     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680400000022     Document Type: Article
Times cited : (373)

References (32)
  • 1
    • 0000480869 scopus 로고
    • Efficient capital markets: A review of theory and empirical work
    • Fama E F 1970 Efficient capital markets: a review of theory and empirical work J. Finance 25 383
    • (1970) J. Finance , vol.25 , pp. 383
    • Fama, E.F.1
  • 3
    • 0000893807 scopus 로고
    • Do Stock Prices move too much to be justified by subsequent changes in dividends
    • Shiller R J 1981 Do Stock Prices move too much to be justified by subsequent changes in dividends? Am. Econ. Rev. 71 421
    • (1981) Am. Econ. Rev , vol.71 , pp. 421
    • Shiller, R.J.1
  • 4
    • 0004179594 scopus 로고    scopus 로고
    • Princeton, NJ: Princeton University Press)
    • Shiller R J 2000 Irrational Exuberance (Princeton, NJ: Princeton University Press)
    • (2000) Irrational Exuberance
    • Shiller, R.J.1
  • 7
    • 0006775331 scopus 로고    scopus 로고
    • Paris: Jacob) Orlean A 2001 A quoi servent les marches financiers? Qu’est-ce que la Culture? (Paris: Jacob
    • Orlean A 1999 Le Pouvoir de la Finance (Paris: Jacob) Orlean A 2001 A quoi servent les marches financiers? Qu’est-ce que la Culture? (Paris: Jacob)
    • (1999) Le Pouvoir De La Finance
    • Orlean, A.1
  • 8
    • 2442587611 scopus 로고    scopus 로고
    • Are supply and demand driving stock prices?
    • Hopman C 2002 Are supply and demand driving stock prices? MIT Working Paper
    • (2002) MIT Working Paper
    • Hopman, C.1
  • 10
    • 0033880410 scopus 로고    scopus 로고
    • Simple modeLof a limit order-driven market 2000
    • Maslov S 2000 Simple modeLof a limit order-driven market 2000 Physica A 278 571
    • (2000) Physica A , vol.278 , pp. 571
    • Maslov, S.1
  • 13
    • 0035510471 scopus 로고    scopus 로고
    • Mean-field approximation for a limit order driven market model Phys
    • 056136
    • Slanina F 2001 Mean-field approximation for a limit order driven market model Phys. Rev. E 64 056136
    • (2001) Rev. E , vol.64
    • Slanina, F.1
  • 14
    • 85008847824 scopus 로고    scopus 로고
    • Demand storage, market liquidity, and price volatilty SFI Working Paper 02-01-001 This paper appeared in final, but truncated form as
    • Daniels M, Farmer J D, Iori G and Smith E 2002 Demand storage, market liquidity, and price volatilty SFI Working Paper 02-01-001 This paper appeared in final, but truncated form as
    • (2002)
    • Daniels, M.1    Farmer, J.D.2    Iori, G.3    Smith, E.4
  • 15
    • 0038303122 scopus 로고    scopus 로고
    • Quantitative model of price diffusion and market friction based on trading as a mechanistic random process Phys
    • 108102
    • Daniels M G, Farmer J D, Iori G and Smith E 2003 Quantitative model of price diffusion and market friction based on trading as a mechanistic random process Phys. Rev. Lett. 90 108102
    • (2003) Rev. Lett , vol.90
    • Daniels, M.G.1    Farmer, J.D.2    Iori, G.3    Smith, E.4
  • 16
    • 85008814948 scopus 로고    scopus 로고
    • Statistical properties of stock order books: Empirical results and models Quant
    • Bouchaud J P, Mezard M and Potters M 2002 Statistical properties of stock order books: empirical results and models Quant. Finance 2 251
    • (2002) Finance , vol.2 , pp. 251
    • Bouchaud, J.P.1    Mezard, M.2    Potters, M.3
  • 17
    • 0348222509 scopus 로고    scopus 로고
    • Statistical theory of the continuous double auction Quant
    • Smith E, Farmer J D, Gillemot L and Krishnamurthy S 2003 Statistical theory of the continuous double auction Quant. Finance 3 481-514
    • (2003) Finance , vol.3 , pp. 481-514
    • Smith, E.1    Farmer, J.D.2    Gillemot, L.3    Krishnamurthy, S.4
  • 19
    • 0346895487 scopus 로고    scopus 로고
    • Non-constant rates and over-diffusive prices in a simple model of limit order markets Quant
    • Challet D and Stinchcombe R 2003 Non-constant rates and over-diffusive prices in a simple model of limit order markets Quant. Finance 3 155
    • (2003) Finance , vol.3 , pp. 155
    • Challet, D.1    Stinchcombe, R.2
  • 21
    • 85008764555 scopus 로고    scopus 로고
    • The long memory of efficient markets Preprint cond-mat/0311053
    • F Lillo and J D Farmer 2003 The long memory of efficient markets Preprint cond-mat/0311053
    • (2003)
    • Lillo, F.1    Farmer, J.D.2
  • 22
    • 85008758869 scopus 로고    scopus 로고
    • The predictive power of zero intelligence models in financial markets Preprint cond-mat/0309233
    • Farmer J D, Patelli P and Zovko I 2003 The predictive power of zero intelligence models in financial markets Preprint cond-mat/0309233
    • (2003)
    • Farmer, J.D.1    Patelli, P.2    Zovko, I.3
  • 24
    • 37649029852 scopus 로고    scopus 로고
    • Scale invariance in the nonstationarity of human heart rate
    • 87 168105 The qualitative analogy with financial markets was recently discussed in
    • Bemaola-Galvan P, Ivanov P Ch, Amaral LAN and Stanley H E 2001 Scale invariance in the nonstationarity of human heart rate Phys. Rev. Lett. 87 168105 The qualitative analogy with financial markets was recently discussed in
    • (2001) Phys. Rev. Lett
    • Bemaola-Galvan, P.1    Ivanov, P.C.2    Amaral, L.3    Stanley, H.E.4
  • 25
    • 0347526244 scopus 로고    scopus 로고
    • Taking the pulse of the economy Quant
    • Struzik Z 2003 Taking the pulse of the economy Quant. Finance 3 78
    • (2003) Finance , vol.3 , pp. 78
    • Struzik, Z.1
  • 26
    • 4344708566 scopus 로고    scopus 로고
    • On-off intermittency in a human balancing task Phys
    • 158702
    • Cabrera J L and Milton J G 2002 On-off intermittency in a human balancing task Phys. Rev. Lett. 89 158702
    • (2002) Rev. Lett , vol.89
    • Cabrera, J.L.1    Milton, J.G.2
  • 27
    • 0001198488 scopus 로고    scopus 로고
    • The stable Paretian hypothesis and the frequency of large returns: An examination of major German stocks Appl
    • Lux T 1996 The stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks Appl. Financial Economics 6 463
    • (1996) Financial Economics , vol.6 , pp. 463
    • Lux, T.1
  • 28
    • 0242290729 scopus 로고    scopus 로고
    • Scaling of the distribution of price fluctuations of individual companies Phys
    • Plerou V, Gopikrishnan P, Amaral L A, Meyer M and Stanley H E 1999 Scaling of the distribution of price fluctuations of individual companies Phys. Rev. E 60 6519
    • (1999) Rev. E , vol.60 , pp. 6519
    • Plerou, V.1    Gopikrishnan, P.2    Amaral, L.A.3    Meyer, M.4    Stanley, H.E.5
  • 29
    • 0000248001 scopus 로고    scopus 로고
    • Scaling of the distribution of fluctuations of financial market indices Phys
    • Gopikrishnan P, Plerou V, Amaral L A, Meyer M and Stanley H E 1999 Scaling of the distribution of fluctuations of financial market indices Phys. Rev. E 60 5305
    • (1999) Rev. E , vol.60 , pp. 5305
    • Gopikrishnan, P.1    Plerou, V.2    Amaral, L.A.3    Meyer, M.4    Stanley, H.E.5


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.