Agent-Based Models for Market Impact and Volatility-Reference-Cited by-同舟云学术

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Agent-Based Models for Market Impact and Volatility

Published:2018 Issue: Volume: Page:393-436
ISSN:1574-0021
Container-title:Handbook of Computational Economics
language:
Short-container-title:

Author:

Bouchaud Jean-Philippe

Publisher

Elsevier

Reference89 articles.

1. Direct estimation of equity market impact;Almgren;Risk,2005

2. A Wiener–Hopf integral equation arising in some inference and queueing problems;Atkinson;Biometrika,1974

3. Théorie de la spéculation;Bachelier;Annales scientifiques de l'École normale supérieure, 3e série,1900

4. Hawkes processes in finance;Bacry;Market Microstructure and Liquidity,2015

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

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