An empirical behavioral model of liquidity and volatility-Reference-Cited by-同舟云学术

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An empirical behavioral model of liquidity and volatility

Published:2008-01 Issue:1 Volume:32 Page:200-234
ISSN:0165-1889
Container-title:Journal of Economic Dynamics and Control
language:en
Short-container-title:Journal of Economic Dynamics and Control

Author:

Mike Szabolcs,Farmer J. Doyne

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference70 articles.

1. Stable laws are inappropriate for describing german stock returns;Akgiray;Allegemeines Statistisches,1989

2. Asset pricing under endogenous expectations in an artificial stock market;Arthur,1997

3. Price variations in a stock market with many agents;Bak;Physica A – Statistical Mechanics and Its Applications,1997

4. A survey of behavioral finance;Barberis,2003

5. Statistics for Long-Memory Processes;Beran,1994

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