-
2
-
-
0001504360
-
The variation of certain speculative prices
-
B. B. Mandelbrot, The variation of certain speculative prices, J. Bus. 36 (1963) 394-419.
-
(1963)
J. Bus
, vol.36
, pp. 394-419
-
-
Mandelbrot, B.B.1
-
3
-
-
0000036811
-
The variation of the prices of cotton, wheat, and railroad stocks, and of some financial rates
-
B. B. Mandelbrot, The variation of the prices of cotton, wheat, and railroad stocks, and of some financial rates, J. Bus. 40 (1967) 393-413.
-
(1967)
J. Bus
, vol.40
, pp. 393-413
-
-
Mandelbrot, B.B.1
-
4
-
-
0000495913
-
When can price be arbitraged efficiently? A limit to the validity of random walk and martingale models
-
B. B. Mandelbrot, When can price be arbitraged efficiently? A limit to the validity of random walk and martingale models, Rev. Econ. Stat. 53 (1971) 225-236.
-
(1971)
Rev. Econ. Stat
, vol.53
, pp. 225-236
-
-
Mandelbrot, B.B.1
-
5
-
-
0002812609
-
Multifractal walk down wall street
-
B. B. Mandelbrot, Multifractal walk down wall street, Sci. Am. 5 (1999) 20-23.
-
(1999)
Sci. Am.
, vol.5
, pp. 20-23
-
-
Mandelbrot, B.B.1
-
6
-
-
34249823637
-
A unified econophysics explanation for the power-law exponents of stock market activity
-
DOI 10.1016/j.physa.2007.02.030, PII S0378437107001392, Applications of Physics in Financial Analysis Proceedings of the 5th International Conference 'Applications of Physics in Financial Analysis' (APFA 5)
-
X. Gabaix, P. Gopikrishnan, V. Plerou and E. Stanley, A unified econophysics explanation for the power-law exponents of stock market activity, Phys. A 382 (1) (2007) 81-88. (Pubitemid 46856071)
-
(2007)
Physica A: Statistical Mechanics and its Applications
, vol.382
, Issue.1
, pp. 81-88
-
-
Gabaix, X.1
Gopikrishnan, P.2
Plerou, V.3
Stanley, H.E.4
-
7
-
-
0003450510
-
-
in, ed. M. Friedman University of Chicago Press, Chicago
-
M. Friedman, in Essays in Positive Economics, ed. M. Friedman (University of Chicago Press, Chicago, 1953).
-
(1953)
Essays in Positive Economics
-
-
Friedman, M.1
-
8
-
-
24644459769
-
Agent-based model with heterogeneous fundamental prices
-
F. F. Ferreira, V. M. de Oliveira, A. F. Crepaldi and P. R. A. Campos, Agent-based model with heterogeneous fundamental prices, Phys. A 357 (3-4) (2005) 534-542.
-
(2005)
Phys. A
, vol.357
, Issue.3-4
, pp. 534-542
-
-
Ferreira, F.F.1
De Oliveira, V.M.2
Crepaldi, A.F.3
Campos, P.R.A.4
-
9
-
-
33846634249
-
Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework
-
C. Chiarella, R. Dieci and X.-Z. He, Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework, J. Econ. Behav. Organ. 62 (3) (2007) 408-427.
-
(2007)
J. Econ. Behav. Organ
, vol.62
, Issue.3
, pp. 408-427
-
-
Chiarella, C.1
Dieci, R.2
He, X.-Z.3
-
10
-
-
0038016658
-
Expectations driven distortions in the foreign exchange market
-
DOI 10.1016/S0167-2681(02)00151-8, PII S0167268102001518
-
F. H. Westerhoff, Expectations driven distortions in the foreign exchange market, J. Econ. Behav. Organ. 51 (3) (2003) 389-412. (Pubitemid 36649641)
-
(2003)
Journal of Economic Behavior and Organization
, vol.51
, Issue.3
, pp. 389-412
-
-
Westerhoff, F.H.1
-
11
-
-
38849163743
-
Estimation of an adaptive stock market model with heterogeneous agents
-
H. Amilon, Estimation of an adaptive stock market model with heterogeneous agents, J. Empir. Finance 15 (2008) 342-362.
-
(2008)
J. Empir. Finance
, vol.15
, pp. 342-362
-
-
Amilon, H.1
-
12
-
-
2942627789
-
Stylized facts in minority games with memory: A new challenge
-
D. Challet, M. Marsili and A. De Martino, Stylized facts in minority games with memory: a new challenge, Physica A 338 (1-2) (2004) 143-150.
-
(2004)
Physica A
, vol.338
, Issue.1-2
, pp. 143-150
-
-
Challet, D.1
Marsili, M.2
De Martino, A.3
-
13
-
-
0035471941
-
A model of international financial crises
-
DOI 10.1016/S0378-4371(01)00307-7, PII S0378437101003077
-
T. Kaizoji, A model of international financial crises, Physica A 299 (1-2) (2001) 279-293. (Pubitemid 33024395)
-
(2001)
Physica A: Statistical Mechanics and its Applications
, vol.299
, Issue.1-2
, pp. 279-293
-
-
Kaizoji, T.1
-
14
-
-
33947392542
-
An agent-based approach to financial stylized facts
-
DOI 10.1016/j.physa.2006.12.014, PII S0378437106013653
-
T. Shimokawa, K. Suzuki and T. Misawa, An agent-based approach to financial stylized facts, Physica A 379 (1) (2007) 207-225. (Pubitemid 46454433)
-
(2007)
Physica A: Statistical Mechanics and its Applications
, vol.379
, Issue.1
, pp. 207-225
-
-
Shimokawa, T.1
Suzuki, K.2
Misawa, T.3
-
15
-
-
0035641583
-
Expectation Bubbles in a Spin Model of Markets: Intermittency from Frustration Across Scales
-
DOI 10.1142/S0129183101001845
-
S. Bornholdt, Expectation bubbles in a spin model of markets: intermittency from frustration across scales, Int. J. Mod. Phys. C 12 (5) (2001) 667-674. (Pubitemid 33329292)
-
(2001)
International Journal of Modern Physics C
, vol.12
, Issue.5
, pp. 667-674
-
-
Bornholdt, S.1
-
16
-
-
33747359959
-
An interacting-agent model of financial markets from the viewpoint of nonextensive statistical mechanics
-
DOI 10.1016/j.physa.2006.04.031, PII S0378437106004444
-
T. Kaizoji, An interacting-agent model of financial markets from the viewpoint of nonextensive statistical mechanics, Physica A 370 (1) (2006) 109-113. (Pubitemid 44247362)
-
(2006)
Physica A: Statistical Mechanics and its Applications
, vol.370
, Issue.1
, pp. 109-113
-
-
Kaizoji, T.1
-
17
-
-
33751118292
-
A multi-interacting-agent model for financial markets
-
S. M. D. Queiros, E. M. F. Curado and F. D. Nobre, A multi-interacting- agent model for financial markets, Physica A 374 (2) (2007) 715-729.
-
(2007)
Physica A
, vol.374
, Issue.2
, pp. 715-729
-
-
Queiros, S.M.D.1
Curado, E.M.F.2
Nobre, F.D.3
-
18
-
-
0036114919
-
A microsimulation of traders activity in the stock market: The role of heterogeneity, agents' interactions and trade frictions
-
G. Iori, A microsimulation of traders activity in the stock market: the role of heterogeneity, agents' interactions and trade frictions, J. Econ. Behav. Organ. 49 (2002) 269-285.
-
(2002)
J. Econ. Behav. Organ
, vol.49
, pp. 269-285
-
-
Iori, G.1
-
19
-
-
33748044835
-
Microstructure effects, bid-ask spreads and volatility in the spot foreign exchange market pre and post-EMU
-
DOI 10.1016/j.gfj.2006.06.004, PII S1044028306000251
-
F. McGroarty, O. ap Gwilym and S. Thomas, Microstructure effects, bid-ask spreads and volatility in the spot foreign exchange market pre and post-EMU, Global Finance J. 17 (1) (2006) 23-49. (Pubitemid 44294132)
-
(2006)
Global Finance Journal
, vol.17
, Issue.1
, pp. 23-49
-
-
McGroarty, F.1
Ap Gwilym, O.2
Thomas, S.3
-
20
-
-
0042364888
-
An empirical examination of the impact of market microstructure changes on the determinants of option bid-ask spreads
-
DOI 10.1016/S1057-5219(03)00063-2, PII S1057521903000632
-
S. Pinder, An empirical examination of the impact of market microstructure changes on the determinants of option bid-ask spreads, Int. Rev. Financ. Anal. 12 (5) (2003) 563-577. (Pubitemid 37052630)
-
(2003)
International Review of Financial Analysis
, vol.12
, Issue.5
, pp. 563-577
-
-
Pinder, S.1
-
21
-
-
33751231708
-
Nonlinear dynamics in Nasdaq dealer quotes
-
DOI 10.1016/j.csda.2006.09.011, PII S0167947306003355
-
B. Frijns and P. C. Schotman, Nonlinear dynamics in Nasdaq dealer quotes, Comput. Stat. Data Anal. 51 (4) (2006) 2246-2266. (Pubitemid 44781249)
-
(2006)
Computational Statistics and Data Analysis
, vol.51
, Issue.4
, pp. 2246-2266
-
-
Frijns, B.1
Schotman, P.C.2
-
22
-
-
33751049655
-
Characterizing bid-ask prices in the Brazilian equity market
-
D. O. Cajueiro and B. M. Tabak, Characterizing bid-ask prices in the Brazilian equity market, Phys-ica A 373 (2007) 627-633.
-
(2007)
Phys-ica A
, vol.373
, pp. 627-633
-
-
Cajueiro, D.O.1
Tabak, B.M.2
-
23
-
-
33744900118
-
The contribution of market makers to liquidity and efficiency of options trading in electronic markets
-
DOI 10.1016/j.jbankfin.2005.05.019, PII S0378426605001329
-
R. Eldor, S. Hauser, B. Pilo and I. Shurki, The contribution of market makers to liquidity and efficiency of options trading in electronic markets, J. Bank. Finance 30 (7) (2006) 2025-2040. (Pubitemid 43842670)
-
(2006)
Journal of Banking and Finance
, vol.30
, Issue.7
, pp. 2025-2040
-
-
Eldor, R.1
Hauser, S.2
Pilo, B.3
Shurki, I.4
-
24
-
-
26844502861
-
Order imbalance and liquidity supply: Evidence from the bubble burst of Nasdaq stocks
-
DOI 10.1016/j.jempfin.2004.11.001, PII S0927539805000447
-
M. Li, T. McCormick and X. Zhao, Order imbalance and liquidity supply: evidence from the bubble burst of Nasdaq stocks, J. Empir. Finance 12 (4) (2005) 533-555. (Pubitemid 41447988)
-
(2005)
Journal of Empirical Finance
, vol.12
, Issue.4
, pp. 533-555
-
-
Li, M.1
McCormick, T.2
Zhao, X.3
-
25
-
-
3042594278
-
Common market makers and commonality in liquidity
-
J. F. Coughenour and M. M. Saad, Common market makers and commonality in liquidity, J. Financ. Econ. 73 (1) (2004) 37-69.
-
(2004)
J. Financ. Econ.
, vol.73
, Issue.1
, pp. 37-69
-
-
Coughenour, J.F.1
Saad, M.M.2
-
26
-
-
0000603420
-
An empirical analysis of NYSE specialist trading
-
PII S0304405X98000087
-
A. Madhavan and G. Sofianos, An empirical analysis of NYSE specialist trading, J. Financ. Econ. 48 (2) (1998) 189-210. (Pubitemid 128338614)
-
(1998)
Journal of Financial Economics
, vol.48
, Issue.2
, pp. 189-210
-
-
Madhavan, A.1
Sofianos, G.2
-
27
-
-
0042911474
-
Competing market makers, liquidity provision, and bid-ask spreads
-
DOI 10.1016/S1386-4181(01)00014-3, PII S1386418101000143
-
O. Bondarenko, Competing market makers, liquidity provision, and bid-ask spreads, J. Financ. Mark. 4 (3) (2001) 269-308. (Pubitemid 33642422)
-
(2001)
Journal of Financial Markets
, vol.4
, Issue.3
, pp. 269-308
-
-
Bondarenko, O.1
-
28
-
-
35348947898
-
The empirical analysis for fractal features and long-run memory mechanism in petroleum pricing systems
-
DOI 10.1504/IJGEI.2007.014869
-
L.-Y. He, Y. Fan and Y.-M. Wei, The empirical analysis for fractal features and long-run memory mechanism in petroleum pricing systems, Int. J. Global Energy 27 (4) (2007) 492-502. (Pubitemid 47610040)
-
(2007)
International Journal of Global Energy Issues
, vol.27
, Issue.4
, pp. 492-502
-
-
He, L.-Y.1
Fan, Y.2
Wei, Y.-M.3
-
30
-
-
0003760016
-
-
2nd ed. John Wiley & Sons, Inc., New York
-
E. E. Peters, Chaos and Order in Capital Markets: A New View of Cycles, Prices and Market Volatility, 2nd ed. (John Wiley & Sons, Inc., New York, 1996).
-
(1996)
Chaos and Order in Capital Markets: A New View of Cycles, Prices and Market Volatility
-
-
Peters, E.E.1
-
31
-
-
44949278719
-
Multi-fractal spectra of multi-affine functions
-
A.-L. Barabasi, P. Szepfalusy and T. Vicsek, Multi-fractal spectra of multi-affine functions, Physica A 178 (1) (1991) 17-28.
-
(1991)
Physica A
, vol.178
, Issue.1
, pp. 17-28
-
-
Barabasi, A.-L.1
Szepfalusy, P.2
Vicsek, T.3
-
32
-
-
56949088434
-
Impact of speculators' expectations of returns and time scales of investment on crude oil price behavior
-
L.-Y. He, Y. Fan and Y.-M. Wei, Impact of speculators' expectations of returns and time scales of investment on crude oil price behavior, Energy Econ. 31 (1) (2009) 77-84.
-
(2009)
Energy Econ.
, vol.31
, Issue.1
, pp. 77-84
-
-
He, L.-Y.1
Fan, Y.2
Wei, Y.-M.3
-
35
-
-
0037405050
-
Symmetry/anti-symmetry phase transitions in crude oil markets
-
J. Alvarez-Ramirez, A. Soriano, M. Cisneros and R. Suarez, Symmetry/anti-symmetry phase transitions in crude oil markets, Physica A 322 (2003) 583-596.
-
(2003)
Physica A
, vol.322
, pp. 583-596
-
-
Alvarez-Ramirez, J.1
Soriano, A.2
Cisneros, M.3
Suarez, R.4
|