Price return autocorrelation and predictability in agent-based models of financial markets
Work
Year: 2005
Type: article
Abstract: We demonstrate that minority mechanisms arise in the dynamics of markets because of price impact; accordingly the relative importance of minority and delayed majority mechanisms depends on the frequen... more
Source: Quantitative Finance
Authors Damien Challet, Tobias Galla
Institutions University of Oxford, The Abdus Salam International Centre for Theoretical Physics (ICTP), Istituto Nazionale per la Fisica della Materia, Scuola Internazionale Superiore di Studi Avanzati
Cites: 45
Cited by: 11
Related to: 10
FWCI: 2.91
Citation percentile (by year/subfield): 86.5
Subfield: Economics and Econometrics
Domain: Social Sciences
Sustainable Development Goal Decent work and economic growth
Open Access status: green