Multiscale characteristics of the emerging global cryptocurrency market

M Wątorek, S Drożdż, J Kwapień, L Minati… - Physics Reports, 2021 - Elsevier
Modern financial markets are characterized by a rapid flow of information, a vast number of
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 …

Precious metals–exchange rate volatility transmissions and hedging strategies

SM Hammoudeh, Y Yuan, M McAleer… - International Review of …, 2010 - Elsevier
This study examines the conditional volatility and correlation dependency and
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

FH Westerhoff, R Dieci - Journal of Economic Dynamics and Control, 2006 - Elsevier
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 …

Estimation of financial agent-based models with simulated maximum likelihood

J Kukacka, J Barunik - Journal of Economic Dynamics and Control, 2017 - Elsevier
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 …

Oil price dynamics: A behavioral finance approach with heterogeneous agents

S Ter Ellen, RCJ Zwinkels - Energy Economics, 2010 - Elsevier
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 …

The impact of religious practice on stock returns and volatility

O Al-Khazali, E Bouri, D Roubaud, T Zoubi - International Review of …, 2017 - Elsevier
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 …

Behavioral heterogeneity in the option market

B Frijns, T Lehnert, RCJ Zwinkels - Journal of Economic Dynamics and …, 2010 - Elsevier
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 …

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 …

Estimating behavioural heterogeneity under regime switching

C Chiarella, XZ He, W Huang, H Zheng - Journal of Economic Behavior & …, 2012 - Elsevier
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 …