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

Authors: Damien Challet ab; Tobias Galla bcd
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
Formats available: HTML (English) : PDF (English)

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