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Multiscale characteristics of the emerging global cryptocurrency market
Modern financial markets are characterized by a rapid flow of information, a vast number of
participants having diversified investment horizons, and multiple feedback mechanisms …
participants having diversified investment horizons, and multiple feedback mechanisms …
Agricultural price instability: a survey of competing explanations and remedies
C Gouel - Journal of economic surveys, 2012 - Wiley Online Library
There are two explanations for agricultural price dynamics. One follows cobweb logic and
models fluctuations driven by expectation errors but emphasises that these expectations …
models fluctuations driven by expectation errors but emphasises that these expectations …
Precious metals–exchange rate volatility transmissions and hedging strategies
This study examines the conditional volatility and correlation dependency and
interdependency for the four major precious metals (ie, gold, silver, platinum and palladium) …
interdependency for the four major precious metals (ie, gold, silver, platinum and palladium) …
The effectiveness of Keynes–Tobin transaction taxes when heterogeneous agents can trade in different markets: a behavioral finance approach
We develop a model in which boundedly rational agents apply technical and fundamental
analysis to identify trading signals in two different speculative markets. Whether an agent …
analysis to identify trading signals in two different speculative markets. Whether an agent …
Estimation of financial agent-based models with simulated maximum likelihood
This paper proposes a general computational framework for empirical estimation of financial
agent-based models, for which criterion functions have unknown analytical form. For this …
agent-based models, for which criterion functions have unknown analytical form. For this …
Oil price dynamics: A behavioral finance approach with heterogeneous agents
In this paper, we develop and test a heterogeneous agent model for the oil market. The
demand for oil is divided in a speculative component and a real component. Speculators are …
demand for oil is divided in a speculative component and a real component. Speculators are …
The impact of religious practice on stock returns and volatility
With a psychological and behavioral perspective, this paper examines whether religious
practice, through its influence on investors' moods and emotions, affect the behavior of the …
practice, through its influence on investors' moods and emotions, affect the behavior of the …
Behavioral heterogeneity in the option market
This paper develops and tests a heterogeneous agents model for the option market. Our
agents have different beliefs about the future level of volatility of the underlying stock index …
agents have different beliefs about the future level of volatility of the underlying stock index …
Dynamic dependence of futures basis between the Chinese and international grains markets
H Wang, Y Dong, M Sun, B Shi, H Ji - Economic Modelling, 2024 - Elsevier
Basis trading has emerged as a prominent trading strategy in the global grains markets.
Understanding basis trading dynamics in this context requires an investigation of the …
Understanding basis trading dynamics in this context requires an investigation of the …
Estimating behavioural heterogeneity under regime switching
Financial markets are typically characterized by high (low) price level and low (high)
volatility during boom (bust) periods, suggesting that price and volatility tend to move …
volatility during boom (bust) periods, suggesting that price and volatility tend to move …