-
2
-
-
0010036519
-
Self-reinforcing mechanisms in economics Center
-
Arthur W B 1987 Self-reinforcing mechanisms in economics Center Econ. Policy Res. 111 1–20.
-
(1987)
Econ. Policy Res
, vol.111
, pp. 1-20
-
-
Arthur, W.B.1
-
3
-
-
0000891087
-
Self fulfilling prophecies
-
Azariadis C 1981 Self fulfilling prophecies J. Econ. Theory 25 380–96.
-
(1981)
J. Econ. Theory
, vol.25
, pp. 380-396
-
-
Azariadis, C.1
-
4
-
-
0000490886
-
Proph´eties autor´ealisatrices et persistance des the´ories
-
Azariadis C and Guesnerie R 1982 Proph´eties autor´ealisatrices et persistance des the´ories, Rev. Économique 33 878–906.
-
(1982)
Rev. Économique
, vol.33
, pp. 878-906
-
-
Azariadis, C.1
Guesnerie, R.2
-
7
-
-
27744568768
-
A theory of fads, fashion, custom and cultural changes as informational cascades
-
Bikhchandani S, Hirshleifer D and Welch I 1992 A theory of fads, fashion, custom and cultural changes as informational cascades J. Political Economy 100 992–1026.
-
(1992)
J. Political Economy
, vol.100
, pp. 992-1026
-
-
Bikhchandani, S.1
Hirshleifer, D.2
Welch, I.3
-
9
-
-
0000375581
-
A conditional heteroskedastic time series model for speculative prices and rates of return
-
Bollerslev T 1987 A conditional heteroskedastic time series model for speculative prices and rates of return Rev. Econ. Statistics 69 542–7.
-
(1987)
Rev. Econ. Statistics
, vol.69
, pp. 542-547
-
-
Bollerslev, T.1
-
11
-
-
0032309756
-
A Langevin approach to stock market fluctuations and crashes
-
Bouchaud J-P and Cont R 1998 A Langevin approach to stock market fluctuations and crashes Eur. Phys. J. B 6 543–50.
-
(1998)
Eur. Phys. J. B
, vol.6
, pp. 543-550
-
-
Bouchaud, J.-P.1
Cont, R.2
-
13
-
-
0002750160
-
Theorems on distinguishing deterministic from random systems Dynamic Econometric Modeling ed W A Barnett
-
Brock W A and Dechert W D 1988 Theorems on distinguishing deterministic from random systems Dynamic Econometric Modeling ed W A Barnett, E R Berndt and H White (Cambridge: Cambridge University Press) ch 12 pp 247–65.
-
(1988)
E R Berndt and H White (Cambridge: Cambridge University Press) Ch
, vol.12
, pp. 247-265
-
-
Brock, W.A.1
Dechert, W.D.2
-
17
-
-
0000538502
-
Statistical mechanics of systems with heterogeneous agents: Minority games Phys
-
Challet D, Marsili M and Zecchina R 2000 Statistical mechanics of systems with heterogeneous agents: minority games Phys. Rev. Lett. 84 1824–7.
-
(2000)
Rev. Lett
, vol.84
, pp. 1824-1827
-
-
Challet, D.1
Marsili, M.2
Zecchina, R.3
-
20
-
-
0004084162
-
Iterated Maps on the Interval as Dynamical Systems (Boston, MA0126Birk auser)
-
Collet P and Eckmann J-P 1980 Iterated Maps on the Interval as Dynamical Systems (Boston, MA0126Birk auser)
-
(1980)
-
-
Collet, P.1
Eckmann, J.-P.2
-
24
-
-
84925975771
-
Irregular growth cycles
-
Day R H 1982 Irregular growth cycles Am. Econ. Rev. 72 406–14.
-
(1982)
Am. Econ. Rev
, vol.72
, pp. 406-414
-
-
Day, R.H.1
-
25
-
-
0021064498
-
The emergence of chaos from classical economic growth Q
-
Day R H 1983 The emergence of chaos from classical economic growth Q. J. Economics 48 201–13.
-
(1983)
J. Economics
, vol.48
, pp. 201-213
-
-
Day, R.H.1
-
30
-
-
0001250871
-
Modeling volatility persistence of speculative returns: A new approach
-
Ding Z and Granger C W J 1996 Modeling volatility persistence of speculative returns: a new approach J. Econometrics 73 185–215.
-
(1996)
J. Econometrics
, vol.73
, pp. 185-215
-
-
Ding, Z.1
Granger, C.2
-
31
-
-
0041059062
-
A long memory property of stock returns and a new model
-
Ding Z, Granger C W J and Engle R 1993 A long memory property of stock returns and a new model J. Empirical Finance 1 83–106.
-
(1993)
J. Empirical Finance
, vol.1
, pp. 83-106
-
-
Ding, Z.1
Granger, C.2
Engle, R.3
-
32
-
-
35949023610
-
Roads to turbulence in dissipative dynamical systems
-
Eckmann J-P 1981 Roads to turbulence in dissipative dynamical systems Rev. Mod. Phys. 53 643–54 (P
-
(1981)
Rev. Mod. Phys
, vol.53
, pp. 643-654
-
-
Eckmann, J.-P.1
-
34
-
-
85008820584
-
-
ed P W Anderson, K J Arrow and D Pines (Reading, MA: Addison-Wesley
-
Eckmann J-P, Oliffson Kamphorst S, Ruelle D and Scheinkman J 1988 Lyapunov exponents for stock returns The Economy as an Evolving Complex System ed P W Anderson, K J Arrow and D Pines (Reading, MA: Addison-Wesley)
-
(1988)
Lyapunov Exponents for Stock Returns the Economy as an Evolving Complex System
-
-
Eckmann, J.-P.1
Oliffson Kamphorst, S.2
Ruelle, D.3
Scheinkman, J.4
-
35
-
-
35949018382
-
Ergodic theory of chaos and strange attractors
-
Eckmann J-P and Ruelle D 1985 Ergodic theory of chaos and strange attractors Rev. Mod. Phys. 57 617–56.
-
(1985)
Rev. Mod. Phys
, vol.57
, pp. 617-656
-
-
Eckmann, J.-P.1
Ruelle, D.2
-
39
-
-
0002528209
-
The behaviour of stock market prices
-
Fama E 1965 The behaviour of stock market prices J. Business 38 34–105.
-
(1965)
J. Business
, vol.38
, pp. 34-105
-
-
Fama, E.1
-
41
-
-
0036113649
-
The price dynamics of common strategies
-
preprintat press
-
Farmer J D and Joshi S 2002 The price dynamics of common strategies J. Econ. Behav. Organ. (preprint) at press
-
(2002)
J. Econ. Behav. Organ
-
-
Farmer, J.D.1
-
43
-
-
84926275288
-
Excess volatility in the financial markets: A reassessment of the empirical evidence
-
Flavin M A 1983 Excess volatility in the financial markets: a reassessment of the empirical evidence J. Political Economy 91 929–56
-
(1983)
J. Political Economy
, vol.91
, pp. 929-956
-
-
Flavin, M.A.1
-
45
-
-
84985822465
-
Towards a theory of collective phenomena: Consensus and attitude changes in groups
-
Galam S and Moscovici S 1991 Towards a theory of collective phenomena: consensus and attitude changes in groups Eur. J. Social Psy. 21 49–74.
-
(1991)
Eur. J. Social Psy
, vol.21
, pp. 49-74
-
-
Galam, S.1
Moscovici, S.2
-
50
-
-
0011683728
-
Nonlinear economic dynamics: Introduction
-
Grandmont J-P and Malgrange P 1986 Nonlinear economic dynamics: introduction J. Econ. Theory 40 3–11.
-
(1986)
J. Econ. Theory
, vol.40
, pp. 3-11
-
-
Grandmont, J.-P.1
Malgrange, P.2
-
51
-
-
84959797626
-
The existence of future markets, noisy rational expectations and informational externalities
-
Grossman S J 1977 The existence of future markets, noisy rational expectations and informational externalities Rev. Econ. Studies 44 431–49.
-
(1977)
Rev. Econ. Studies
, vol.44
, pp. 431-449
-
-
Grossman, S.J.1
-
52
-
-
84925971744
-
An introduction to the theory of rational expectations under asymmetric information
-
Grossman S J 1981 An introduction to the theory of rational expectations under asymmetric information Rev. Econ. Studies 48 541–59.
-
(1981)
Rev. Econ. Studies
, vol.48
, pp. 541-559
-
-
Grossman, S.J.1
-
53
-
-
84914513057
-
The determinants of the variability of stock market prices
-
Grossman S J and Shiller R J 1981 The determinants of the variability of stock market prices Am. Econ. Rev. 71 222–7.
-
(1981)
Am. Econ. Rev
, vol.71
, pp. 222-227
-
-
Grossman, S.J.1
Shiller, R.J.2
-
54
-
-
0001188867
-
The impossibility of informationally efficient markets
-
Grossman S J and Stiglitz J 1980 The impossibility of informationally efficient markets Am. Econ. Rev. 70 393–408.
-
(1980)
Am. Econ. Rev
, vol.70
, pp. 393-408
-
-
Grossman, S.J.1
Stiglitz, J.2
-
55
-
-
0342413726
-
The influence of investor number on a microscopic market model
-
Hellthaler T 1995 The influence of investor number on a microscopic market model J. Mod. Phys. C 6 845–52.
-
(1995)
J. Mod. Phys. C
, vol.6
, pp. 845-852
-
-
Hellthaler, T.1
-
56
-
-
0000605911
-
Testing for nonlinearity in daily foreign exchange rate changes
-
Hsieh D 1989 Testing for nonlinearity in daily foreign exchange rate changes J. Business 62 339–68.
-
(1989)
J. Business
, vol.62
, pp. 339-368
-
-
Hsieh, D.1
-
57
-
-
84977719043
-
Chaos and nonlinear dynamics: Application to financial markets
-
Hsieh D 1991 Chaos and nonlinear dynamics: application to financial markets J. Finance 46 1839–77.
-
(1991)
J. Finance
, vol.46
, pp. 1839-1877
-
-
Hsieh, D.1
-
61
-
-
85008813101
-
Oscillatory finite-time singularities in finance
-
Ide K and Sornette D 2001 Oscillatory finite-time singularities in finance, population and rupture Preprint http://arXiv.org/abs/cond-mat/0106047
-
(2001)
Population and Rupture Preprint
-
-
Ide, K.1
Sornette, D.2
-
66
-
-
0000071062
-
The Nasdaq crash of April 2000: Yet another example of log-periodicity in a speculative bubble ending in a crash
-
Johansen A and Sornette D 2000 The Nasdaq crash of April 2000: yet another example of log-periodicity in a speculative bubble ending in a crash Eur. Phys. J. B 17 319–28.
-
(2000)
Eur. Phys. J. B
, vol.17
, pp. 319-328
-
-
Johansen, A.1
Sornette, D.2
-
67
-
-
0009793025
-
Large stock market price drawdowns are outliers
-
at press
-
Johansen A and Sornette D 2001 Large stock market price drawdowns are outliers J. Risk (Preprint http://arXiv.org/abs/cond-mat/0010050) at press
-
(2001)
J. Risk
-
-
Johansen, A.1
Sornette, D.2
-
68
-
-
0002044715
-
Predicting financial crashes using discrete scale invariance
-
Johansen A, Sornette D and Ledoit O 1999 Predicting financial crashes using discrete scale invariance J. Risk 1 5–32.
-
(1999)
J. Risk
, vol.1
, pp. 5-32
-
-
Johansen, A.1
Sornette, D.2
Ledoit, O.3
-
69
-
-
0004064059
-
The General Theory of Employment
-
London: McMillan
-
Keynes J M 1936 The General Theory of Employment, Interest and Money (London: McMillan)
-
(1936)
Interest and Money
-
-
Keynes, J.M.1
-
71
-
-
0003117638
-
Fulfilled expectations equilibria
-
Kreps D 1977 Fulfilled expectations equilibria J. Econ. Theory 14 32–43.
-
(1977)
J. Econ. Theory
, vol.14
, pp. 32-43
-
-
Kreps, D.1
-
72
-
-
0031650516
-
Stretched exponential distributions in nature and economy: ‘fat tails’ with characteristic scales
-
Laherrère J and Sornette D 1998 Stretched exponential distributions in nature and economy: ‘fat tails’ with characteristic scales Eur. Phys. J. B 2 525–39.
-
(1998)
Eur. Phys. J. B
, vol.2
, pp. 525-539
-
-
Laherrère, J.1
Sornette, D.2
-
73
-
-
85008797438
-
-
The changing structure of stock returns Working Paper University of Wisconsin
-
LeBaron B 1988 The changing structure of stock returns Working Paper University of Wisconsin
-
(1988)
-
-
Lebaron, B.1
-
74
-
-
0001220269
-
Microscopic simulation of the stock market—the effect of microscopic diversity
-
Levy M, Levy H and Solomon S 1995 Microscopic simulation of the stock market—the effect of microscopic diversity J. Physique I 5 1087–107.
-
(1995)
J. Physique
, vol.1
, Issue.5
, pp. 1087-1107
-
-
Levy, M.1
Levy, H.2
Solomon, S.3
-
76
-
-
85008815464
-
A Non-Random Walk down Wall Street (Princeton, NJ: Princeton University Press) Lorenz
-
Lo A W and MacKinlay A C 1999 A Non-Random Walk down Wall Street (Princeton, NJ: Princeton University Press) Lorenz E 1963 Deterministic nonperiodic flow J. Atmos. Sci. 20 130–41.
-
(1999)
E 1963 Deterministic Nonperiodic Flow J. Atmos. Sci
, vol.20
, pp. 130-141
-
-
Lo, A.W.1
Mackinlay, A.C.2
-
77
-
-
0001198488
-
The stable Paretian hypothesis and the frequency of large returns: An examination of major German stocks Appl
-
Lux L 1996 The stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks Appl. Financial Economics 6 463–75.
-
(1996)
Financial Economics
, vol.6
, pp. 463-475
-
-
Lux, L.1
-
82
-
-
0031161236
-
Volatilities of different time resolutions-analyzing the dynamics of market components
-
Müller U A, Dacorogna M M, Davé R, Olsen R B, Pictet O V and von Weizsäcker J E 1997 Volatilities of different time resolutions-analyzing the dynamics of market components J. Empirical Finance 4 213–40.
-
(1997)
J. Empirical Finance
, vol.4
, pp. 213-240
-
-
M¨Uller, U.A.1
Dacorogna, M.M.2
Davé, R.3
Olsen, R.B.4
Pictet, O.V.5
Von Weizsäcker, J.E.6
-
87
-
-
0001137220
-
Le rôle des influences interpersonnelles dans la d´etermination des cours boursiers
-
Orléan A 1990 Le rôle des influences interpersonnelles dans la d´etermination des cours boursiers Rev. Economique 41 839–68.
-
(1990)
Rev. Economique
, vol.41
, pp. 839-868
-
-
Orléan, A.1
-
88
-
-
0000806430
-
Contagion des opinions et fonctionnement des march´es financiers
-
Orléan A 1992 Contagion des opinions et fonctionnement des march´es financiers Rev. Economique 43 685–97.
-
(1992)
Rev. Economique
, vol.43
, pp. 685-697
-
-
Orléan, A.1
-
89
-
-
0030139575
-
The econometrics of financial markets
-
Pagan A 1996 The econometrics of financial markets J. Empirical Finance 3 15–102.
-
(1996)
J. Empirical Finance
, vol.3
, pp. 15-102
-
-
Pagan, A.1
-
90
-
-
0001190979
-
Search for log-periodicity oscillations in stock market simulations
-
Pandey R B and Stauffer D 2000 Search for log-periodicity oscillations in stock market simulations Int. Theor. Appl. Finance 3 479–82.
-
(2000)
Int. Theor. Appl. Finance
, vol.3
, pp. 479-482
-
-
Pandey, R.B.1
Stauffer, D.2
-
91
-
-
0242290729
-
Scaling of distribution of price fluctuations of individual companies Phys
-
Plerou V, Gopikrishnan P, Amaral L A N, Meyer M and Stanley H E 1999 Scaling of distribution of price fluctuations of individual companies Phys. Rev. E 60 6519–29.
-
(1999)
Rev. E
, vol.60
, pp. 6519-6529
-
-
Plerou, V.1
Gopikrishnan, P.2
Amaral, L.3
Meyer, M.4
Stanley, H.E.5
-
95
-
-
0000486899
-
Silver signals: Twenty-five years of screening and signaling
-
Riley J 2001 Silver signals: twenty-five years of screening and signaling J. Econ. Literature 39 432–78.
-
(2001)
J. Econ. Literature
, vol.39
, pp. 432-478
-
-
Riley, J.1
-
96
-
-
0031640235
-
The sharp peak-flat trough pattern and critical speculation
-
Roehner B M and Sornette D 1998 The sharp peak-flat trough pattern and critical speculation Eur. Phys. J. B 4 387–99.
-
(1998)
Eur. Phys. J. B
, vol.4
, pp. 387-399
-
-
Roehner, B.M.1
Sornette, D.2
-
97
-
-
0025677813
-
Herd behaviour and investment
-
Scharfstein D and Stein J 1990 Herd behaviour and investment Am. Econ. Rev. 80 465–79.
-
(1990)
Am. Econ. Rev
, vol.80
, pp. 465-479
-
-
Scharfstein, D.1
Stein, J.2
-
101
-
-
0000893807
-
Do stock prices move too much to be justified by subsequent changes in dividends
-
Shiller R 1981 Do stock prices move too much to be justified by subsequent changes in dividends? Am. Econ. Rev. 71 421–36.
-
(1981)
Am. Econ. Rev
, vol.71
, pp. 421-436
-
-
Shiller, R.1
-
103
-
-
0004179594
-
-
Princeton, NJ: Princeton University Press)
-
Shiller R J 2000 Irrational Exuberance (Princeton, NJ: Princeton University Press)
-
(2000)
Irrational Exuberance
-
-
Shiller, R.J.1
-
107
-
-
85008803692
-
Theory of self-similar oscillatory finite-time singularities in finance
-
Sornette D and Ide K 2001 Theory of self-similar oscillatory finite-time singularities in finance, population and rupture Preprint webpage http://arXiv.org/abs/cond-mat/0106054
-
(2001)
Population and Rupture Preprint Webpage
-
-
Sornette, D.1
Ide, K.2
-
109
-
-
33748848380
-
Stock market crashes precursors and replicas
-
Sornette D, Johansen A and Bouchaud J-P 1996 Stock market crashes precursors and replicas J. Physique I 6 167–75.
-
(1996)
J. Physique
, vol.1
, Issue.6
, pp. 167-175
-
-
Sornette, D.1
Johansen, A.2
Bouchaud, J.-P.3
-
112
-
-
0041358184
-
Chaotic dynamics and bifurcation in a macro-model
-
Stutzer M 1980 Chaotic dynamics and bifurcation in a macro-model J. Econ. Dyn.
-
(1980)
J. Econ. Dyn
-
-
Stutzer, M.1
-
115
-
-
4844228063
-
Analyst forecasts and herding behaviour
-
Trueman B 1994 Analyst forecasts and herding behaviour Rev. Financial Studies 7 97–124.
-
(1994)
Rev. Financial Studies
, vol.7
, pp. 97-124
-
-
Trueman, B.1
-
116
-
-
0001348449
-
Rational expectations, risk and chaos in financial markets
-
Van der Ploeg F 1986 Rational expectations, risk and chaos in financial markets Econ. J. 96 (suppl.)
-
(1986)
Econ. J
, vol.96
-
-
Van Der Ploeg, F.1
-
117
-
-
84977727359
-
Sequential sales, learning, and cascades
-
Welch I 1992 Sequential sales, learning, and cascades J. Finance 47 695–732 see also webpage http://welch.som.yale.edu/cascades for an annotated bibliography and resource reference on information cascades
-
(1992)
J. Finance
, vol.47
, pp. 695-732
-
-
Welch, I.1
-
118
-
-
84977713545
-
Bubbles, fads and stock price volatility tests: A partial evaluation
-
West K D 1988 Bubbles, fads and stock price volatility tests: a partial evaluation J. Finance 43 639–55.
-
(1988)
J. Finance
, vol.43
, pp. 639-655
-
-
West, K.D.1
-
119
-
-
0001839537
-
Corporate conservatism and relative compensation
-
Zwiebel J 1995 Corporate conservatism and relative compensation J. Political Economy 103 1–25
-
(1995)
J. Political Economy
, vol.103
, pp. 1-25
-
-
Zwiebel, J.1
|