What really causes large price changes?-Reference-Cited by-同舟云学术

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What really causes large price changes?

Published:2004-08 Issue:4 Volume:4 Page:383-397
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Doyne Farmer 5 J.¹,Gillemot László¹²,Lillo Fabrizio¹³,Mike Szabolcs¹²,Sen Anindya¹⁴

Affiliation:

1. a Santa Fe Institute , 1399 Hyde Park Road, Santa Fe , NM 87501 , USA

2. b Budapest University of Technology and Economics , Budafoki út 8, H-1111 Budapest , Hungary

3. c Istituto Nazionale per la Fisica della Materia, Palermo University , Italy

4. d Mathematics Department , University of Chicago , Chicago , IL , USA

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697680400008627

Reference64 articles.

1. Asset Pricing Under Endogenous Expectations in an Artificial Stock Market

2. An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse

3. Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes

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