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Microeconomic models for long memory in the volatility of financial time series. (2002). Kirman, Alan ; TEYSSIeRE, Gilles .
In: CORE Discussion Papers RP.
RePEc:cor:louvrp:1593.

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  1. Uncovering Hidden Insights with Long-Memory Process Detection: An In-Depth Overview. (2023). Mashhad, Leila Marvian ; Yarmohammadi, Masoud ; Hassani, Hossein.
    In: Risks.
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  2. Long memory in the high frequency cryptocurrency markets using fractal connectivity analysis: The impact of COVID-19. (2023). Bhandari, Avishek ; Yousaf, Imran ; Mokni, Khaled ; Assaf, Ata.
    In: Research in International Business and Finance.
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  3. .

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  4. An agent-based model of intra-day financial markets dynamics. (2021). Napoletano, Mauro ; Staccioli, Jacopo.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:182:y:2021:i:c:p:331-348.

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  5. Multi-agent-based VaR forecasting. (2021). Poddig, Thorsten ; Fieberg, Christian ; Tubbenhauer, Tobias.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:131:y:2021:i:c:s0165188921001664.

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  6. The closed-form option pricing formulas under the sub-fractional Poisson volatility models. (2021). Yang, Zijian ; Wang, Xiaotian ; Cao, Piyao.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:148:y:2021:i:c:s0960077921003660.

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  7. Pitfalls in long memory research. (2020). , Chandrashekhar ; Madhavan, Vinodh ; Saha, Kunal ; McMillan, David ; Shekhar, Chandra.
    In: Cogent Economics & Finance.
    RePEc:taf:oaefxx:v:8:y:2020:i:1:p:1733280.

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  8. An approach to identifying micro behavior: How banks’ strategies influence financial cycles. (2019). Recchioni, Maria Cristina ; Tedeschi, Gabriele ; Berardi, Simone.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:162:y:2019:i:c:p:329-346.

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  9. Market stability vs. market resilience: Regulatory policies experiments in an agent-based model with low- and high-frequency trading. (2019). Napoletano, Mauro ; Leal, Sandrine Jacob.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:157:y:2019:i:c:p:15-41.

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  10. Understanding flash crash contagion and systemic risk: A micro–macro agent-based approach. (2019). Wooldridge, Michael ; Calinescu, Anisoara ; Paulin, James.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:100:y:2019:i:c:p:200-229.

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  11. An agent-based model of intra day financial markets dynamics. (2018). Staccioli, Jacopo ; Napoletano, Mauro.
    In: Documents de Travail de l'OFCE.
    RePEc:fce:doctra:1834.

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  12. Understanding Flash Crash Contagion and Systemic Risk: A Micro-Macro Agent-Based Approach. (2018). Wooldridge, Michael ; Calinescu, Anisoara ; Paulin, James.
    In: Papers.
    RePEc:arx:papers:1805.08454.

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  13. Effects of limit order book information level on market stability metrics. (2017). Paddrik, Mark ; Scherer, William ; Hayes, Roy ; Beling, Peter.
    In: Journal of Economic Interaction and Coordination.
    RePEc:spr:jeicoo:v:12:y:2017:i:2:d:10.1007_s11403-015-0164-6.

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  14. Eurace Open: An agent-based multi-country model. (2017). Teglio, Andrea ; Raberto, Marco ; Cincotti, Silvano ; Ozel, Bulent ; Petrovic, Marko .
    In: Working Papers.
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  15. Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading. (2017). Leal, Sandrine Jacob ; Napoletano, Mauro.
    In: Post-Print.
    RePEc:hal:journl:hal-01768876.

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  16. Permutation entropy analysis based on Gini–Simpson index for financial time series. (2017). Jiang, Jun ; Li, Xuemei ; Zhang, Zuoquan ; Shang, Pengjian.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:486:y:2017:i:c:p:273-283.

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  17. Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent Based Model with Low- and High-Frequency Trading. (2016). Napoletano, Mauro ; Leal, Sandrine Jacob.
    In: LEM Papers Series.
    RePEc:ssa:lemwps:2016/15.

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  18. Rock around the clock: An agent-based model of low- and high-frequency trading. (2016). Roventini, Andrea ; Napoletano, Mauro ; Fagiolo, Giorgio ; Leal, Sandrine Jacob.
    In: Journal of Evolutionary Economics.
    RePEc:spr:joevec:v:26:y:2016:i:1:p:49-76.

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  19. Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High- Frequency Trading. (2016). Napoletano, Mauro ; Leal, Sandrine Jacob.
    In: Sciences Po publications.
    RePEc:spo:wpmain:info:hdl:2441/3utlh0ehcn860pus6p2p683ade.

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  20. How banks’ strategies influence financial cycles: An approach to identifying micro behavior. (2016). Tedeschi, Gabriele ; Berardi, Simone .
    In: Working Papers.
    RePEc:jau:wpaper:2016/24.

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  21. Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High- Frequency Trading. (2016). Napoletano, Mauro ; Leal, Sandrine Jacob.
    In: Working Papers.
    RePEc:hal:wpaper:hal-03459346.

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  22. Market stability vs. Market resilience : Regulatory policies experiments in an agent based model with low-and high -frequency trading. (2016). Napoletano, Mauro ; Leal, Sandrine Jacob.
    In: Documents de Travail de l'OFCE.
    RePEc:fce:doctra:16012.

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  23. Financial power laws: Empirical evidence, models, and mechanisms. (2016). Alfarano, Simone ; Lux, Thomas.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:88:y:2016:i:c:p:3-18.

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  24. Asset Pricing Under Ambiguity and Heterogeneity. (2015). Zhai, Qi Nan .
    In: PhD Thesis.
    RePEc:uts:finphd:1-2015.

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  25. An Agent-Based Model of Liquidity. (2015). Paddrik, Mark ; Bookstaber, Richard.
    In: Working Papers.
    RePEc:ofr:wpaper:15-18.

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  26. Super-exponential endogenous bubbles in an equilibrium model of fundamentalist and chartist traders. (2015). Kaizoji, Taisei ; Saichev, Alexander ; Leiss, Matthias ; Sornette, Didier.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:112:y:2015:i:c:p:289-310.

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  27. Why is equity order flow so persistent?. (2015). Farmer, J. ; Toth, Bence ; Palit, Imon ; Lillo, Fabrizio.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:51:y:2015:i:c:p:218-239.

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  28. Herding interactions as an opportunity to prevent extreme events in financial markets. (2015). Kononovicius, Aleksejus ; Gontis, Vygintas.
    In: Papers.
    RePEc:arx:papers:1409.8024.

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  29. Why is order flow so persistent?. (2014). Farmer, J. ; Toth, Bence ; Palit, Imon ; Lillo, Fabrizio.
    In: Papers.
    RePEc:arx:papers:1108.1632.

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  30. A simple model for vast panels of volatilities. (2013). Veredas, David ; Luciani, Matteo.
    In: ULB Institutional Repository.
    RePEc:ulb:ulbeco:2013/136239.

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  31. Endogenous time-varying risk aversion and asset return. (2012). Berardi, Michele.
    In: Centre for Growth and Business Cycle Research Discussion Paper Series.
    RePEc:man:cgbcrp:168.

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  32. Lost in transactions: The case of the Boulogne s/mer fish market. (2012). Vignes, Annick ; Tedeschi, Gabriele ; Mignot, Sylvain ; Gallegati, Mauro.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:391:y:2012:i:4:p:1400-1407.

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  33. Herding effects in order driven markets: The rise and fall of gurus. (2012). Tedeschi, Gabriele ; Iori, Giulia ; Gallegati, Mauro.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:81:y:2012:i:1:p:82-96.

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  34. A model for vast panels of volatilities. (2012). Veredas, David ; Luciani, Matteo.
    In: Working Papers.
    RePEc:bde:wpaper:1230.

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  35. How to grow a bubble: A model of myopic adapting agents. (2010). Harras, Georges ; Sornette, D..
    In: Papers.
    RePEc:arx:papers:0806.2989.

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  36. An exploration of commonly observed stylized facts with data from experimental asset markets. (2009). Kirchler, Michael ; Huber, Jurgen.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:388:y:2009:i:8:p:1631-1658.

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  37. The impact of heterogeneous trading rules on the limit order book and order flows. (2009). Iori, Giulia ; Chiarella, Carl.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:33:y:2009:i:3:p:525-537.

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  38. Complex Evolutionary Systems in Behavioral Finance. (2008). Wagener, Florian ; Hommes, Cars.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20080054.

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  39. The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows. (2008). Iori, Giulia ; Chiarella, Carl ; Perello, J..
    In: Working Papers.
    RePEc:cty:dpaper:08/04.

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  40. Multivariate Fractionally Integrated APARCH Modeling of Stock Market Volatility: A multi-country study. (2008). Zeng, Ning ; Conrad, Christian ; Karanasos, Menelaos.
    In: Working Papers.
    RePEc:awi:wpaper:0472.

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  41. Complex evolutionary systems in behavioral finance. (2008). Wagener, Florian ; Hommes, Cars.
    In: CeNDEF Working Papers.
    RePEc:ams:ndfwpp:08-05.

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  42. Modeling Optimism and Pessimism in the Foreign Exchange Market. (2007). Rovira Kaltwasser, Pablo ; De Grauwe, Paul ; DeGrauwe, Paul.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_1962.

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  43. Importance of positive feedbacks and overconfidence in a self-fulfilling Ising model of financial markets. (2006). Sornette, Didier ; Zhou, Wei-Xing.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:370:y:2006:i:2:p:704-726.

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  44. A Behavioral Finance Model of the Exchange Rate with Many Forecasting Rules. (2006). Rovira Kaltwasser, Pablo ; De Grauwe, Paul ; DeGrauwe, Paul.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_1849.

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  45. The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows. (2005). Iori, Giulia ; Chiarella, Carl.
    In: Research Paper Series.
    RePEc:uts:rpaper:152.

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  46. Equilibria in financial markets with heterogeneous agents: a probabilistic perspective. (2005). Kirman, Alan ; Horst, Ulrich ; Follmer, Hans.
    In: Journal of Mathematical Economics.
    RePEc:eee:mateco:v:41:y:2005:i:1-2:p:123-155.

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  47. Importance of Positive Feedbacks and Over-confidence in a Self-Fulfilling Ising Model of Financial Markets. (2005). Sornette, Didier ; Zhou, Wei-Xing.
    In: Papers.
    RePEc:arx:papers:cond-mat/0503607.

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  48. Computability and Evolutionary Complexity: Markets As Complex Adaptive Systems (CAS). (2004). Markose, Sheri M.
    In: Economics Discussion Papers.
    RePEc:esx:essedp:3730.

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  49. Reflections on interaction and markets. (2002). Kirman, Alan.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:2:y:2002:i:5:p:322-326.

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