Price return autocorrelation and predictability in agent-based models of financial markets

Authors: Damien Challet ^a^b; Tobias Galla ^b^c^d

Affiliations:	^a Nomura Centre for Quantitative Finance, Mathematical Institute, Oxford University, Oxford, UK
	^b The Rudolf Peierls Centre for Theoretical Physics, Oxford University, Oxford, OX1 3NP, UK
	^c International Center for Theoretical Physics, 34014 Trieste, Italy
	^d Istituto Nazionale per la Fisica della Materia (INFM), 34014 Trieste, Italy

DOI: 10.1080/14697680500363963

Publication Frequency: 8 issues per year

Published in: journal

Quantitative Finance, Volume 5, Issue 6 December 2005 , pages 569 - 576

Subjects: Applied Mathematics; Business Mathematics; Finance & Accounting; Financial Mathematics;

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