Agent-based modelling in directional-change intrinsic time-Reference-Cited by-同舟云学术

Agent-based modelling in directional-change intrinsic time

Published:2019-11-18 Issue:3 Volume:20 Page:463-482
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Petrov V.¹^ORCID,Golub A.²,Olsen R.³

Affiliation:

1. University of Zurich, 15 Andreasstrasse, 8050 Zurich, Switzerland

2. flov technologies AG, 26 Gotthardstrasse, 6300 Zug, Switzerland

3. Lykke Corp., 2 Baarerstrasse, 6300 Zug, Switzerland

Funder

European Union's Horizon 2020 research and innovation programme under the Marie Skłodowska-Curie

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2019.1669809

Reference63 articles.

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4. Arneodo, A., Bouchaud, J.P., Cont, R., Muzy, J.F., Potters, M. and Sornette, D., Comment on “Turbulent cascades in foreign exchange markets”, 1996. arXiv preprint cond-mat/9607120.

5. INVESTMENT PERFORMANCE OF COMMON STOCKS IN RELATION TO THEIR PRICE-EARNINGS RATIOS: A TEST OF THE EFFICIENT MARKET HYPOTHESIS

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