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- Blog Post: TheFinancialServicesClub: Things worth reading: the European View (11)
- RT @moorehn: LIBOR FTW. RT @mrkwhths: The Worst Banking Scandal Yet? http://t.co/2h2LtVqC via @BloombergView
- The Financial Education Daily is out! http://t.co/TYluKzUv ⸠Top stories today via @chronicle @Macquarie_Uni @Cornell
- Published / Preprint: Microscopic understanding of heavy-tailed return distributions in an agent-based model. (arXiv:1207.2946v1 [q-fin.CP])
- @icmacentre: Trading Competition a success http://t.co/5280joKs
- MoneyScience Daily is out! http://t.co/yz3uYqFU : Top stories today via @CompSciFact @ritholtz
- Financial Technology News Report is out! http://t.co/Jds9GCg0 : Top stories today via @nanexllc @moneyscience @WatersTech
Blog Post: TheFinancialServicesClub: Things worth reading: the European View (11) Posted: 13 Jul 2012 03:54 AM PDT |
Posted: 13 Jul 2012 03:39 AM PDT |
Posted: 13 Jul 2012 12:38 AM PDT |
Posted: 12 Jul 2012 05:34 PM PDT The distribution of returns in financial time series exhibits heavy tails. In empirical studies, it has been found that gaps between the orders in the order book lead to large price shifts and thereby to these heavy tails. We set up an agent based model to study this issue and, in particular, how the gaps in the order book emerge. The trading mechanism in our model is based on a double-auction... Visit MoneyScience for the Complete Article. |
@icmacentre: Trading Competition a success http://t.co/5280joKs Posted: 12 Jul 2012 04:52 PM PDT |
MoneyScience Daily is out! http://t.co/yz3uYqFU : Top stories today via @CompSciFact @ritholtz Posted: 12 Jul 2012 07:45 AM PDT |
Posted: 12 Jul 2012 05:52 AM PDT |
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