| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Minimal Noise Trader Model with Realistic Time Series Properties |
2 |
8 |
18 |
27 |
2 |
23 |
48 |
87 |
| A Noise Trader Model as a Generator of Apparent Financial Power Laws and Long Memory |
5 |
11 |
28 |
71 |
6 |
21 |
73 |
188 |
| A Note on the Stochastic Properties of German Stock Returns |
0 |
0 |
0 |
0 |
0 |
3 |
16 |
501 |
| A minimal noise trader model with realistic time series |
0 |
0 |
0 |
0 |
0 |
2 |
17 |
169 |
| A minimal noise trader model with realistic time series properties |
3 |
9 |
27 |
42 |
7 |
27 |
78 |
125 |
| Applications of Statistical Physics in Finance and Economics |
6 |
25 |
107 |
131 |
7 |
51 |
204 |
243 |
| Detecting multi-fractal properties in asset returns: The failure of the ‘scaling estimator’ |
4 |
7 |
26 |
50 |
5 |
12 |
48 |
98 |
| Financial power laws: empirical evidence, models, and mechanism |
2 |
9 |
30 |
46 |
8 |
21 |
58 |
83 |
| Forecasting Volatility and Volume in the Tokyo Stock Market: The Advantage of Long Memory Models |
2 |
4 |
27 |
118 |
7 |
24 |
89 |
311 |
| Forecasting Volume and Volatility in the Tokyo Stock Market: The Advantage of Long Memory Models |
0 |
0 |
2 |
2 |
4 |
16 |
90 |
326 |
| Forecasting volatility and volume in the Tokyo stock market: long memory, fractality and regime switching |
7 |
23 |
55 |
102 |
17 |
48 |
126 |
207 |
| Genetic Learning and the Stylized Facts of Foreign Exchange Markets |
0 |
0 |
0 |
0 |
0 |
0 |
20 |
166 |
| Genetic Learning as an Explanation of Stylized Facts of Foreign Exchange Markets |
2 |
4 |
9 |
16 |
6 |
15 |
45 |
75 |
| Genetic Learning as an Explanation of Stylized Facts of Foreign Exchange Markets |
2 |
4 |
12 |
40 |
5 |
10 |
46 |
116 |
| Microscopic Models of Financial Markets |
3 |
11 |
40 |
80 |
7 |
23 |
90 |
149 |
| On Dynamics in An Asset Pricing Model with Heterogeneous Expectations |
0 |
0 |
1 |
185 |
3 |
9 |
51 |
445 |
| On Rational Bubbles and Fat Tails |
4 |
9 |
44 |
511 |
10 |
25 |
94 |
1,413 |
| Scaling and Criticality in a Stochastic Multi-Agent Model of a Financial Market |
0 |
0 |
5 |
5 |
39 |
152 |
442 |
1,351 |
| Testing for Non-Linear Structure in an Artificial Financial Market |
0 |
0 |
1 |
1 |
9 |
20 |
60 |
1,030 |
| The Limiting Extremal Behaviour of Speculative Returns: An Analysis of Intra-Daily Data from the Frankfurt Stock Exchange |
0 |
0 |
1 |
1 |
2 |
8 |
31 |
687 |
| The Markov-Switching Multi-Fractal Model of Asset Returns: GMM Estimation and Linear Forecasting of Volatility |
2 |
5 |
30 |
85 |
9 |
22 |
85 |
223 |
| The Markov-Switching Multifractal Model of asset returns: GMM estimation and linear forecasting of volatility |
5 |
17 |
50 |
102 |
9 |
36 |
120 |
216 |
| The Multi-Fractal Model of Asset Returns: Its Estimation via GMM and Its Use for Volatility Forecasting |
9 |
27 |
80 |
162 |
16 |
54 |
159 |
334 |
| The Multi-Fractal Model of Asset Returns: Simple Moment and GMM Estimation |
0 |
0 |
0 |
241 |
2 |
7 |
79 |
908 |
| The Multi-Fractal Model of Asset Returns:Its Estimation via GMM and Its Use for Volatility Forecasting |
0 |
0 |
1 |
3 |
3 |
12 |
36 |
181 |
| Time-Variation of Higher Moments in a Financial Market with Heterogeneous Agents: An Analytical Approach |
1 |
2 |
10 |
36 |
2 |
8 |
36 |
124 |
| Time-variation of higher moments in a financial market with heterogeneous agents: an analytical approach |
2 |
14 |
25 |
30 |
6 |
21 |
47 |
54 |
| True and Apparent Scaling: The Proximity of the Markov- Switching Multifractal Model to Long-Range Dependence |
1 |
6 |
21 |
32 |
2 |
13 |
48 |
57 |
| Volatility Clustering in Financial Markets: A Micro-Simulation of Interacting Agents |
0 |
0 |
7 |
8 |
23 |
72 |
281 |
1,494 |
| Total Working Papers |
62 |
195 |
657 |
2,127 |
216 |
755 |
2,617 |
11,361 |
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