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
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