Empirical validation of stochastic models of interacting agents: A" maximally skewe"d noise trader model

European Physical Journal B

Volumn 55, Issue 2, 2007, Pages 183-187

  Alfarano, S ^a   Lux, T ^a   Wagner, F ^a  

^a UNIVERSITY OF KIEL   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

EMPIRICAL VALIDATION; FINANCIAL MARKETS; INTERACTING AGENTS; STOCHASTIC MODELS;

COMPUTATIONAL METHODS; INDUSTRIAL ECONOMICS; INVENTORY CONTROL; MATHEMATICAL MODELS; PARAMETER ESTIMATION; RANDOM PROCESSES;

MARKETING;

EID: 33847247431     PISSN: 14346028     EISSN: 14346036     Source Type: Journal    
DOI: 10.1140/epjb/e2006-00385-4     Document Type: Article

References (8)

1. R. Vigfusson, International Journal of Finance and Economics 2, 291 (1997)
2. A. Kirman, Quarterly Journal of Economics 108, 137 (1993)
3. M. Gilli, P. Winker, Computational Statistics and Data Analysis 42, 299 (2003)
4. S. Alfarano, T. Lux, F. Wagner, Computational Economics 26, 19 (2005)
5. S. Alfarano, T. Lux, F. Wagner, in Funktionsfähigkeit und Stabilität von Finanzmärkten, edited by W. Franz, H. Ramser, M. Stadler (Mohr Siebeck, Tübingen, 2005), pp. 241-254
6. B.J. De Long, A. Shleifer, L.H. Summers, R.J. Waldmann, Journal of Political Economy 98, 703, 738 (1990)
7. A.L. Lewis, Option Valuation under Stochastic Volatility (Finance Press, California, 2000)
8. D. Ahn, B. Gao, Review of Financial Studies 12, 721 (1999)