Carl Chiarella : Citation Profile

Deceased: 2016-06-21

25

H index

61

i10 index

2842

Citations

RESEARCH PRODUCTION:

113

Articles

199

Papers

9

Books

10

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   32 years (1984 - 2016). See details.
   Cites by year: 88
   Journals where Carl Chiarella has often published
   Relations with other researchers
   Recent citing documents: 337.    Total self citations: 171 (5.68 %)

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   Permalink: http://citec.repec.org/pch240
   Updated: 2020-05-16    RAS profile:    
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Relations with other researchers

Works with:

He, Xuezhong (10)

Di Guilmi, Corrado (6)

Nikitopoulos-Sklibosios, Christina (5)

Kang, Boda (3)

Wei, Lijian (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Carl Chiarella.

Is cited by:

He, Xuezhong (221)

Westerhoff, Frank (168)

Hommes, Cars (106)

Li, Youwei (99)

Anufriev, Mikhail (92)

Li, Kai (47)

Flaschel, Peter (44)

Bottazzi, Giulio (38)

Proaño, Christian (38)

Dindo, Pietro (37)

Charpe, Matthieu (36)

Cites to:

He, Xuezhong (195)

Hommes, Cars (130)

Flaschel, Peter (119)

Brock, William (80)

Semmler, Willi (63)

Lux, Thomas (51)

Jarrow, Robert (50)

merton, robert (34)

Gardini, Laura (29)

Huang, Weihong (27)

Westerhoff, Frank (24)

Main data

Where Carl Chiarella has published?

Journals with more than one article published# docs
Journal of Economic Dynamics and Control12
Journal of Economic Behavior & Organization11
Computational Economics8
Quantitative Finance6
Applied Mathematical Finance6
Studies in Nonlinear Dynamics & Econometrics5
International Journal of Theoretical and Applied Finance (IJTAF)5
Macroeconomic Dynamics5
Journal of Futures Markets4
European Journal of Political Economy4
The European Journal of Finance4
Journal of Economics3
Economic Modelling3
Physica A: Statistical Mechanics and its Applications3
Journal of Empirical Finance2
European Journal of Operational Research2
International Game Theory Review (IGTR)2
Annals of Operations Research2

Working Papers Series with more than one paper published# docs
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney88
Working Paper Series / Finance Discipline Group, UTS Business School, University of Technology, Sydney51
Computing in Economics and Finance 2002 / Society for Computational Economics10
Computing in Economics and Finance 2004 / Society for Computational Economics5
Computing in Economics and Finance 2006 / Society for Computational Economics5
Computing in Economics and Finance 2005 / Society for Computational Economics5
Publications of Darmstadt Technical University, Institute for Business Studies (BWL) / Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL)4
Computing in Economics and Finance 2003 / Society for Computational Economics4
Computing in Economics and Finance 1997 / Society for Computational Economics4
Computing in Economics and Finance 1999 / Society for Computational Economics2
Working Papers / New School for Social Research, Department of Economics2
CeNDEF Workshop Papers, January 2001 / Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance2
Finance / University Library of Munich, Germany2

Recent works citing Carl Chiarella (2018 and 2017)

YearTitle of citing document
2018A Model-Free Bubble Detection Method: Application to the World Market for Superstar Wines. (2018). Tolhurst, Tor. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274387.

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2017Heterogeneity and Clustering of Defaults. (2017). Turner, Matthew ; Terovitis, Spyridon ; Galanis, Girogos ; Karlis, Alexandros . In: Economic Research Papers. RePEc:ags:uwarer:270011.

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2017A unified framework for pricing credit and equity derivatives. (2017). Stagni, Roberto ; Ruiz, Edward Manuel ; de Martino, Andrea. In: Working Papers. RePEc:apc:wpaper:2017-116.

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2017A hybrid approach for the implementation of the Heston model. (2017). Zanette, Antonino ; Briani, Maya ; Caramellino, Lucia . In: Papers. RePEc:arx:papers:1307.7178.

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2019On a hybrid method using trees and finite-differences for pricing options in complex models. (2017). Briani, Maya ; Zanette, Antonino ; Caramellino, Lucia . In: Papers. RePEc:arx:papers:1603.07225.

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2017The Problem of Calibrating an Agent-Based Model of High-Frequency Trading. (2017). Platt, Donovan ; Gebbie, Tim. In: Papers. RePEc:arx:papers:1606.01495.

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2017Can Agent-Based Models Probe Market Microstructure?. (2017). Platt, Donovan ; Gebbie, Tim. In: Papers. RePEc:arx:papers:1611.08510.

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2017Computing stable numerical solutions for multidimensional American option pricing problems: a semi-discretization approach. (2017). , Lucas ; Egorova, Vera ; Company, Rafael ; Soleymani, Fazlollah. In: Papers. RePEc:arx:papers:1701.08545.

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2017Agent-Based Model Calibration using Machine Learning Surrogates. (2017). Roventini, Andrea ; Lamperti, Francesco ; Sani, Amir. In: Papers. RePEc:arx:papers:1703.10639.

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2017An empirical behavioural order-driven model with price limit rules. (2017). Zhou, Wei-Xing ; Chen, Wei ; Zhang, Yong-Jie ; Xu, Hai-Chuan ; Xiong, Xiong ; Gu, Gao-Feng. In: Papers. RePEc:arx:papers:1704.04354.

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2019High-order compact finite difference scheme for option pricing in stochastic volatility jump models. (2019). Pitkin, Alexander ; During, Bertram. In: Papers. RePEc:arx:papers:1704.05308.

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2017Stability of zero-growth economics analysed with a Minskyan model. (2017). Barrett, Adam B. In: Papers. RePEc:arx:papers:1704.08161.

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2017Dynamical selection of Nash equilibria using Experience Weighted Attraction Learning: emergence of heterogeneous mixed equilibria. (2017). Sollich, Peter ; Nicole, Robin . In: Papers. RePEc:arx:papers:1706.09763.

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2019Portfolio Optimization and Model Predictive Control: A Kinetic Approach. (2019). Frank, Martin ; Pareschi, Lorenzo ; Trimborn, Torsten. In: Papers. RePEc:arx:papers:1711.03291.

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2017Black was right: Price is within a factor 2 of Value. (2017). Ronia, Sin K ; Seager, P ; Majewski, A ; Lemp, Y ; Ciliberti, S ; Bouchaud, J P. In: Papers. RePEc:arx:papers:1711.04717.

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2017Valuing Exchange Options Under an Ornstein-Uhlenbeck Covariance Model. (2017). Enrique, Villamor ; Pablo, Olivares. In: Papers. RePEc:arx:papers:1711.10013.

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2018SABCEMM-A Simulator for Agent-Based Computational Economic Market Models. (2018). Frank, Martin ; Pabich, Emma ; Beikirch, Max ; Cramer, Simon ; Otte, Philipp ; Trimborn, Torsten. In: Papers. RePEc:arx:papers:1801.01811.

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2018A bright future for financial agent-based models. (2018). Bourgeois-Gironde, Sacha ; Belianin, Alexis ; Gutkin, B ; Lussange, J. In: Papers. RePEc:arx:papers:1801.08222.

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2018Seasonal Stochastic Volatility and the Samuelson Effect in Agricultural Futures Markets. (2018). Tavin, Bertrand ; Schneider, Lorenz. In: Papers. RePEc:arx:papers:1802.01393.

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2018Structural Estimation of Behavioral Heterogeneity. (2018). Zheng, Huanhuan ; Shi, Zhentao. In: Papers. RePEc:arx:papers:1802.03735.

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2018Efficient Pricing of Barrier Options on High Volatility Assets using Subset Simulation. (2018). Zuev, Konstantin M ; Pantelous, Athanasios A ; Kontosakos, Vasileios E ; Mendonca, Keegan. In: Papers. RePEc:arx:papers:1803.03364.

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2018Dynamic Pricing and Learning with Competition: Insights from the Dynamic Pricing Challenge at the 2017 INFORMS RM & Pricing Conference. (2018). Riseth, Asbjorn Nilsen ; Martinez-Sykora, Antonio ; Lei, Xiao ; Haensel, Alwin ; Esders, Malte ; Ellina, Andria ; Currie, Christine ; Bayliss, Christopher ; Zachariades, Simos ; den Boer, Arnoud V ; Odegaard, Fredrik ; van De, Ruben. In: Papers. RePEc:arx:papers:1804.03219.

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2018A Macroscopic Portfolio Model: From Rational Agents to Bounded Rationality. (2018). Trimborn, Torsten. In: Papers. RePEc:arx:papers:1805.11036.

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2018Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation. (2018). Schlogl, Erik ; Gellert, Karol. In: Papers. RePEc:arx:papers:1806.05387.

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2018Co-existence of Trend and Value in Financial Markets: Estimating an Extended Chiarella Model. (2018). Majewski, Adam ; Bouchaud, Jean-Philippe ; Ciliberti, Stefano. In: Papers. RePEc:arx:papers:1807.11751.

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2018Forecasting of Jump Arrivals in Stock Prices: New Attention-based Network Architecture using Limit Order Book Data. (2018). Iosifidis, Alexandros ; Gabbouj, Moncef ; Kanniainen, Juho ; Makinen, Milla. In: Papers. RePEc:arx:papers:1810.10845.

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2019Simulation of Stylized Facts in Agent-Based Computational Economic Market Models. (2018). Trimborn, Torsten ; Pabich, Emma ; Otte, Philipp ; Frank, Martin ; Cramer, Simon ; Beikirch, Maximilian. In: Papers. RePEc:arx:papers:1812.02726.

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2019A Probabilistic Approach to Nonparametric Local Volatility. (2019). Roberts, Stephen ; Tegn, Martin. In: Papers. RePEc:arx:papers:1901.06021.

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2019Analytic solutions in a continuous-time financial market model. (2019). Andr, Attila ; Bihary, Zsolt. In: Papers. RePEc:arx:papers:1902.09999.

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2019Robust Mathematical Formulation and Implementation of Agent-Based Computational Economic Market Models. (2019). Trimborn, Torsten ; Pabich, Emma ; Otte, Philipp ; Frank, Martin ; Cramer, Simon ; Beikirch, Maximilian. In: Papers. RePEc:arx:papers:1904.04951.

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2019An agent-based model for designing a financial market that works well. (2019). Mizuta, Takanobu . In: Papers. RePEc:arx:papers:1906.06000.

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2019European Option Pricing of electricity under exponential functional of L\evy processes with Price-Cap principle. (2019). Wono, Yves Emvudu ; Bogso, Antoine-Marie ; Soh, Patrice Takam ; Kegnenlezom, Martin. In: Papers. RePEc:arx:papers:1906.10888.

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2019Existence of affine realizations for L\evy term structure models. (2019). Tappe, Stefan. In: Papers. RePEc:arx:papers:1907.02363.

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2019An alternative approach on the existence of affine realizations for HJM term structure models. (2019). Tappe, Stefan. In: Papers. RePEc:arx:papers:1907.03256.

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2019Existence of L\evy term structure models. (2019). Tappe, Stefan ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1907.03561.

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2019A model-free backward and forward nonlinear PDEs for implied volatility. (2019). Stoikov, Sasha ; Itkin, Andrey ; Carr, Peter. In: Papers. RePEc:arx:papers:1907.07305.

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2019CVA and vulnerable options in stochastic volatility models. (2019). Scarlatti, Sergio ; Ramponi, Alessandro ; Antonelli, Fabio ; Alos, Elisa. In: Papers. RePEc:arx:papers:1907.12922.

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2020The Economics of Enlightenment: Time Value of Knowledge and the Net Present Value (NPV) of Knowledge Machines. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1908.03233.

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2020Compact Finite Difference Scheme with Hermite Interpolation for Pricing American Put Options Based on Regime Switching Model. (2019). Liu, Ruihua ; Dai, Weizhong ; Nwankwo, Chinonso. In: Papers. RePEc:arx:papers:1908.04900.

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2019An arbitrage-free conic martingale model with application to credit risk. (2019). Fr'ed'eric Vrins, ; Mbaye, Cheikh. In: Papers. RePEc:arx:papers:1909.02474.

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2020Trading Strategies and Market Color: The Benefits of Friendship with Quantitative Analysts and Financial Engineers. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1910.02144.

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2019Stylized Facts and Agent-Based Modeling. (2019). Trimborn, Torsten ; Cramer, Simon. In: Papers. RePEc:arx:papers:1912.02684.

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2019From Disequilibrium Markets to Equilibrium. (2019). Trimborn, Torsten ; Lax, Christian. In: Papers. RePEc:arx:papers:1912.09679.

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2020Pricing Exchange Options under Stochastic Correlation. (2020). Olivares, Pablo ; Villamor, Enrique. In: Papers. RePEc:arx:papers:2001.03967.

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2020A Put-Call Transformation of the Exchange Option Problem under Stochastic Volatility and Jump Diffusion Dynamics. (2020). , Gerald ; Dominic, Len Patrick. In: Papers. RePEc:arx:papers:2002.10194.

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2020Representation of Exchange Option Prices under Stochastic Volatility Jump-Diffusion Dynamics. (2020). Dominic, Len Patrick. In: Papers. RePEc:arx:papers:2002.10202.

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2020Correlating L\evy processes with Self-Decomposability: Applications to Energy Markets. (2020). Sasso, Emanuela ; Sabino, Piergiacomo ; Gardini, Matteo. In: Papers. RePEc:arx:papers:2004.04048.

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2017Arrow-Debreu Model versus Kornai-critique. (2017). Moczar, Jozsef. In: Athens Journal of Business & Economics. RePEc:ate:journl:ajbev3i2-4.

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2018Value Matters: The Long-run Behavior of Stock Index Returns. (2018). Angelini, Natascia ; Nardini, Franco ; Marmi, Stefano ; Bormetti, Giacomo. In: Review of Economics & Finance. RePEc:bap:journl:180202.

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2018BUSINESS CYCLES IN A GENERAL EQUILIBRIUM DYNAMIC MODEL WITH LAND VALUE AND RENT. (2018). Zhang, Wei-Bin. In: Economic Annals. RePEc:beo:journl:v:62:y:2018:i:216:p:7-34.

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2018BUSINESS CYCLES IN A GENERAL EQUILIBRIUM DYNAMIC MODEL WITH LAND VALUE AND RENT. (2018). Zhang, Wei-Bin. In: Economic Annals. RePEc:beo:journl:v:63:y:2018:i:216:p:7-34.

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2018When are credit gap estimates reliable?. (2018). Ponomarenko, Alexey ; Deryugina, Elena ; Rozhkova, Anna. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps34.

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2017TAKING STOCK: A RIGOROUS MODELLING OF ANIMAL SPIRITS IN MACROECONOMICS. (2017). Westerhoff, Frank ; Franke, Reiner ; Zamparelli, Luca ; Veneziani, Roberto. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:31:y:2017:i:5:p:1152-1182.

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2017THE AGENT†BASED APPROACH TO POST KEYNESIAN MACRO†MODELING. (2017). Di Guilmi, Corrado ; Zamparelli, Luca ; Veneziani, Roberto. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:31:y:2017:i:5:p:1183-1203.

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2017MINSKY MODELS: A STRUCTURED SURVEY. (2017). Stockhammer, Engelbert ; Nikolaidi, Maria ; Zamparelli, Luca ; Veneziani, Roberto. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:31:y:2017:i:5:p:1304-1331.

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2017Fiscal and Monetary Policy Rules in an Unstable Economy. (2017). Skott, Peter ; Ryoo, Soon. In: Metroeconomica. RePEc:bla:metroe:v:68:y:2017:i:3:p:500-548.

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2019A note on the “unique” business cycle in the Keynesian theory. (2019). Murakami, Hiroki. In: Metroeconomica. RePEc:bla:metroe:v:70:y:2019:i:3:p:384-404.

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2017Comparing behavioural heterogeneity across asset classes. (2017). ter Ellen, Saskia ; Hommes, Cars. In: Working Paper. RePEc:bno:worpap:2017_12.

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2017Heterogeneous beliefs and asset price dynamics: a survey of recent evidence. (2017). Verschoor, Willem ; ter Ellen, Saskia. In: Working Paper. RePEc:bno:worpap:2017_22.

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2018Risk perceptions and fundamental effects on sovereign spreads. (2018). Migiakis, Petros ; Georgoutsos, Dimitris. In: Working Papers. RePEc:bog:wpaper:250.

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2017Catching-up and falling behind: Effects of learning in an R&D differential game with spillovers. (2017). Bondarev, Anton ; Greiner, Alfred. In: Working papers. RePEc:bsl:wpaper:2017/02.

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2019Diverse Risk Preferences and Heterogeneous Expectations in an Asset Pricing Model. (2019). Piccillo, Giulia ; Gomez, Thomas. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8003.

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2019Market Impact and Performance of Arbitrageurs of Financial Bubbles in An Agent-Based Model. (2019). Sornette, Didier ; Westphal, Rebecca. In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp1929.

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2018Agent-Based Models in Economics. (2018). Russo, Alberto ; Richiardi, Matteo ; Gallegati, Mauro ; Fagiolo, Giorgio ; Delli Gatti, Domenico. In: Cambridge Books. RePEc:cup:cbooks:9781108400046.

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2018Agent-based model of system-wide implications of funding risk. (2018). Halaj, Grzegorz ; Haaj, Grzegorz. In: Working Paper Series. RePEc:ecb:ecbwps:20182121.

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2017Pricing American-style Parisian down-and-out call options. (2017). Le, Nhat-Tan ; Dang, Duy-Minh. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:305:y:2017:i:c:p:330-347.

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2017Investigating the risk-return trade-off for crude oil futures using high-frequency data. (2017). Xia, Xiao-Hua ; Pan, Bin ; Huang, Jianbai ; Wen, Fenghua ; Gong, XU. In: Applied Energy. RePEc:eee:appene:v:196:y:2017:i:c:p:152-161.

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2018A novel method based on numerical fitting for oil price trend forecasting. (2018). Zhao, Lu-Tao ; Zeng, Guan-Rong ; Guo, Shi-Qiu ; Wang, YI. In: Applied Energy. RePEc:eee:appene:v:220:y:2018:i:c:p:154-163.

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2017Fast smoothing in switching approximations of non-linear and non-Gaussian models. (2017). Gorynin, Ivan ; Pieczynski, Wojciech ; Monfrini, Emmanuel ; Derrode, Stephane . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:114:y:2017:i:c:p:38-46.

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2019When panic makes you blind: A chaotic route to systemic risk. (2019). Marmi, Stefano ; Lillo, Fabrizio ; Mazzarisi, Piero. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:176-199.

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2019Understanding 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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2019Contagion between asset markets: A two market heterogeneous agents model with destabilising spillover effects. (2019). Hommes, Cars ; Vroegop, Joris. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:314-333.

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2019Optimal execution with regime-switching market resilience. (2019). Elliott, Robert J ; Zhu, Song-Ping ; Guo, Ivan ; Siu, Chi Chung. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:101:y:2019:i:c:p:17-40.

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2020Mean-variance analysis and the Modified Market Portfolio. (2020). Wenzelburger, Jan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s0165188919302167.

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2017Empirical properties of a heterogeneous agent model in large dimensions. (2017). Coqueret, Guillaume. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:77:y:2017:i:c:p:180-201.

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2017Markets with heterogeneous beliefs: A necessary and sufficient condition for a trader to vanish. (2017). Massari, Filippo . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:78:y:2017:i:c:p:190-205.

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2017Booms, busts and behavioural heterogeneity in stock prices. (2017). Hommes, Cars ; In, Daan . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:80:y:2017:i:c:p:101-124.

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2017On the bimodality of the distribution of the S&P 500s distortion: Empirical evidence and theoretical explanations. (2017). Westerhoff, Frank ; Schmitt, Noemi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:80:y:2017:i:c:p:34-53.

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2017Debt-deflation, financial market stress and regime change – Evidence from Europe using MRVAR. (2017). Semmler, Willi ; Ernst, Ekkehard ; Haider, Alexander . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:81:y:2017:i:c:p:115-139.

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2017Estimation of financial agent-based models with simulated maximum likelihood. (2017). Baruník, Jozef ; Kukacka, Jiri. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:85:y:2017:i:c:p:21-45.

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2017Optimal portfolios when variances and covariances can jump. (2017). Branger, Nicole ; Weisheit, Stefan ; Seifried, Frank Thomas ; Muck, Matthias. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:85:y:2017:i:c:p:59-89.

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2018Agent-based model calibration using machine learning surrogates. (2018). Roventini, Andrea ; Sani, Amir ; Lamperti, Francesco. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:366-389.

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2018Market-making strategy with asymmetric information and regime-switching. (2018). Siu, Tak Kuen ; Gu, Jia-Wen ; Ching, Wai-Ki ; Yang, Qing-Qing. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:408-433.

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2018Evolutionary dynamics in club goods binary games. (2018). Merlone, Ugo ; Pruscini, Eros ; Bischi, Gian Italo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:104-119.

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2018Dynamic analysis of discontinuous best response with innovation. (2018). Pezzino, Mario ; Tramontana, Fabio ; Lamantia, Fabio. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:120-133.

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2018Catching-up and falling behind: Effects of learning in an R&D differential game with spillovers. (2018). Bondarev, Anton ; Greiner, Alfred. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:134-156.

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2018Reviving Kalecki’s business cycle model in a growth context. (2018). Franke, Reiner. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:157-171.

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2018Growth and unemployment: Short-run and long-run tradeoffs. (2018). Turnovsky, Stephen J ; Schubert, Stefan F. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:172-189.

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2018Macrofinancial imbalances in historical perspective: A global crisis index. (2018). Gallegati, Marco ; Delli Gatti, Domenico. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:190-205.

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2018The role of cognitive limitations and heterogeneous expectations for aggregate production and credit cycle. (2018). DeGrauwe, Paul ; Gerba, Eddie ; de Grauwe, Paul. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:206-236.

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2018A laboratory experiment on the heuristic switching model. (2018). Tuinstra, Jan ; Chernulich, Aleksei ; Anufriev, Mikhail. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:21-42.

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2018Macroeconomic and stock market interactions with endogenous aggregate sentiment dynamics. (2018). Veneziani, Roberto ; Charpe, Matthieu ; Proao, Christian R ; Galanis, Giorgos ; Flaschel, Peter. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:237-256.

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2018The effects of interbank networks on efficiency and stability in a macroeconomic agent-based model. (2018). Gurgone, Andrea ; Jafarey, Saqib ; Iori, Giulia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:257-288.

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2018Stabilizing an unstable complex economy on the limitations of simple rules. (2018). Salle, Isabelle ; Seppecher, Pascal. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:289-317.

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2018Financial stress, regime switching and spillover effects: Evidence from a multi-regime global VAR model. (2018). Semmler, Willi ; Chen, Pu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:318-348.

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2018Solving an incomplete markets model with a large cross-section of agents. (2018). Mertens, Thomas M ; Judd, Kenneth L. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:349-368.

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2018Estimation of agent-based models using sequential Monte Carlo methods. (2018). Lux, Thomas. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:391-408.

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2018Cognitive ability and earnings performance: Evidence from double auction market experiments. (2018). Chen, Shu-Heng ; Tai, Chung-Ching ; Yang, Lee-Xieng . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:409-440.

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2018Interactions between stock, bond and housing markets. (2018). Westerhoff, Frank ; Schmitt, Noemi ; Dieci, Roberto. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:43-70.

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2018Asset allocation with time series momentum and reversal. (2018). Li, Youwei ; He, Xuezhong. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:441-457.

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2018Boom-bust dynamics in a stock market participation model with heterogeneous traders. (2018). Naimzada, Ahmad ; Pecora, Nicolo ; Agliari, Anna. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:458-468.

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More than 100 citations found, this list is not complete...

Carl Chiarella has edited the books:

YearTitleTypeCited

Works by Carl Chiarella:

YearTitleTypeCited
2001Output and Interest Rates. Jump Variable and Phase Diagram Switching Methodologies In: CeNDEF Workshop Papers, January 2001.
[Citation analysis]		paper0
2001Asset Price and Wealth Dynamics under Heterogeneous Expectations In: CeNDEF Workshop Papers, January 2001.
[Citation analysis]		paper129
2001Asset price and wealth dynamics under heterogeneous expectations.(2001) In: Quantitative Finance.
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2001Asset Price and Wealth Dynamics Under Heterogeneous Expectations.(2001) In: Research Paper Series.
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This paper has another version. Agregated cites: 129		paper
2004A Dynamic Analysis of Moving Average Rules In: CeNDEF Working Papers.
[Full Text][Citation analysis]		paper94
2006A dynamic analysis of moving average rules.(2006) In: Journal of Economic Dynamics and Control.
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2004A Dynamical Analysis of Moving Average Rules.(2004) In: Computing in Economics and Finance 2004.
[Citation analysis]
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2005A Dynamic Analysis of Moving Average Rules.(2005) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 94		paper
2004A Dynamic Analysis of Moving Average Rules.(2004) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 94		paper
2007The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows In: Papers.
[Full Text][Citation analysis]		paper108
2008The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 108		paper
2009The impact of heterogeneous trading rules on the limit order book and order flows.(2009) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 108		article
2005The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows.(2005) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 108		paper
2011STOCK‐FLOW INTERACTIONS, DISEQUILIBRIUM MACROECONOMICS AND THE ROLE OF ECONOMIC POLICY In: Journal of Economic Surveys.
[Citation analysis]		article4
2005MEAN VARIANCE PREFERENCES, EXPECTATIONS FORMATION, AND THE DYNAMICS OF RANDOM ASSET PRICES In: Mathematical Finance.
[Full Text][Citation analysis]		article31
2000Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices.(2000) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 31		paper
2012Macroeconomic Stabilization Policies in Intrinsically Unstable Macroeconomies In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article0
2012The Fiscal Cost of Financial Instability In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article0
2015The limit distribution of evolving strategies in financial markets In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article6
2011Limit Distribution of Evolving Strategies in Financial Markets.(2011) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2002Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article4
2004Inferring the Forward Looking Equity Risk Premium from Derivative Prices In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article6
1991The birth of limit cycles in Cournot oligopoly models with time delays In: Pure Mathematics and Applications.
[Citation analysis]		article3
1991The Birth of Limit Cycles in Cournot Oligopoly Models with Time Delays.(1991) In: Working Paper Series.
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2011The Dynamics of Keynesian Monetary Growth In: Cambridge Books.
[Citation analysis]		book75
2000The Dynamics of Keynesian Monetary Growth.(2000) In: Cambridge Books.
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This paper has another version. Agregated cites: 75		book
2003THE DYNAMICS OF KEYNESIAN MONETARY GROWTH.(2003) In: Macroeconomic Dynamics.
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This paper has another version. Agregated cites: 75		article
2011Foundations for a Disequilibrium Theory of the Business Cycle In: Cambridge Books.
[Citation analysis]		book56
2005Foundations for a Disequilibrium Theory of the Business Cycle.(2005) In: Cambridge Books.
[Citation analysis]
This paper has another version. Agregated cites: 56		book
2011Financial Assets, Debt and Liquidity Crises In: Cambridge Books.
[Citation analysis]		book22
2015Financial Assets, Debt and Liquidity Crises.(2015) In: Cambridge Books.
[Citation analysis]
This paper has another version. Agregated cites: 22		book
2012A DYNAMIC ANALYSIS OF THE MICROSTRUCTURE OF MOVING AVERAGE RULES IN A DOUBLE AUCTION MARKET In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article8
2009A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market.(2009) In: Research Paper Series.
[Full Text][Citation analysis]
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2017MONETARY POLICY AND DEBT DEFLATION: SOME COMPUTATIONAL EXPERIMENTS In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article5
2013Monetary Policy and Debt Deflation: Some Computational Experiments.(2013) In: CAMA Working Papers.
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2013Monetary Policy and Debt Deflation: Some Computational Experiments.(2013) In: Working Paper Series.
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This paper has another version. Agregated cites: 5		paper
1998DYNAMICS OF NATURAL RATES OF GROWTH AND EMPLOYMENT In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article3
2003HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER In: Macroeconomic Dynamics.
[Full Text][Citation analysis]		article97
2000Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker.(2000) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 97		paper
2001Output, Interest and the Stock Market: An Alternative to the Jump Variable Technique In: Bulletin of the Czech Econometric Society.
[Full Text][Citation analysis]		article0
2006Investigation nonlinear speculation in cattle, corn, and hog futures markets using logistics smooth transition regression models In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
[Citation analysis]		paper0
2007Investigating Nonlinear Speculation in Cattle, Corn, and Hog Futures Markets using Logistic Smooth Transition Regression Models In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
[Citation analysis]		paper22
2007Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models.(2007) In: Journal of Futures Markets.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22		article
2006Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models.(2006) In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22		paper
2006Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models.(2006) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22		paper
2006Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models.(2006) In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22		paper
2006Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models.(2006) In: Darmstadt Discussion Papers in Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22		paper
2010Some Numerical Explorations of the Keynes-Metzler-Goodwin Monetary Growth Model In: Indian Economic Review.
[Citation analysis]		article0
2014Financial instability and debt deflation dynamics in a bottom-up approach In: Economics Bulletin.
[Full Text][Citation analysis]		article0
2003The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison In: Royal Economic Society Annual Conference 2003.
[Full Text][Citation analysis]		paper6
2003The jump component of the volatility structure of interest rate futures markets: An international comparison.(2003) In: Journal of Futures Markets.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		article
2004Estimation of the Volatility Structure of the Fixed Income Market In: Econometric Society 2004 Australasian Meetings.
[Citation analysis]		paper0
2009The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article9
2005The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach.(2005) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		paper
1999Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article24
2000High order disequilibrium growth dynamics: Theoretical aspects and numerical features In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article3
2003Dynamics of beliefs and learning under aL-processes -- the heterogeneous case In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article55
2001Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case.(2001) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 55		paper
2005Evaluation of American strangles In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article14
2002Evaluation of American Strangles.(2002) In: Computing in Economics and Finance 2002.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14		paper
2002Evaluation of American Strangles.(2002) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14		paper
2006Asset price and wealth dynamics in a financial market with heterogeneous agents In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article71
2004Asset price and wealth dynamics in a financial market with heterogeneous agents.(2004) In: Computing in Economics and Finance 2004.
[Citation analysis]
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2004Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents.(2004) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 71		paper
2010Preface In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article0
2011An analysis of the effect of noise in a heterogeneous agent financial market model In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article21
2011The financial instability hypothesis: A stochastic microfoundation framework In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article49
2010The Financial Instability Hypothesis: A Stochastic Microfoundation Framework.(2010) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 49		paper
2014Volatility swaps and volatility options on discretely sampled realized variance In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article3
2015Learning, information processing and order submission in limit order markets In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article7
1986Perfect foresight models and the dynamic instability problem from a higher viewpoint In: Economic Modelling.
[Full Text][Citation analysis]		article10
1988The cobweb model: Its instability and the onset of chaos In: Economic Modelling.
[Full Text][Citation analysis]		article63
1989Innovation and the transfer of technology : A leader-follower model In: Economic Modelling.
[Full Text][Citation analysis]		article2
2005A volatility decomposition control variate technique for Monte Carlo simulations of Heath Jarrow Morton models In: European Journal of Operational Research.
[Full Text][Citation analysis]		article5
2011Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model In: European Journal of Operational Research.
[Full Text][Citation analysis]		article13
2008Modelling the Evolution of Credit Spreads using the Cox Process within the HUM Framework: A CDS Option Pricing Model.(2008) In: Research Paper Series.
[Full Text][Citation analysis]
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2009Modelling the Evolution of Credit Spreads Using the Cox Process Within the HJM Framework A CDS Option Pricing Model.(2009) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		paper
2015Fear or fundamentals? Heterogeneous beliefs in the European sovereign CDS market In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article22
2016Stochastic correlation and risk premia in term structure models In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article6
2011Stochastic Correlation and Risk Premia in Term Structure Models.(2011) In: Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2013Humps in the volatility structure of the crude oil futures market: New evidence In: Energy Economics.
[Full Text][Citation analysis]		article12
2012Humps in the Volatility Structure of the Crude Oil Futures Market.(2012) In: Research Paper Series.
[Full Text][Citation analysis]
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2004The value of the S&P 500--A macro view of the stock market adjustment process In: Global Finance Journal.
[Full Text][Citation analysis]		article5
2014Pricing range notes within Wishart affine models In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article2
2016Chasing trends at the micro-level: The effect of technical trading on order book dynamics In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article3
2014Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500 In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article38
2014Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500.(2014) In: Research Paper Series.
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1992Economic dynamics : Wei-Bin Zhang, (Lecture Notes in Economics and Mathematical Systems, Springer Verlag, 1990) vol. 350, pp. x+232, DM 45 (paper) In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article0
1996Real and monetary cycles in models of Keynes-Wicksell type In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article11
2002Speculative behaviour and complex asset price dynamics: a global analysis In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article116
2001Speculative Behaviour and Complex Asset Price Dynamics.(2001) In: Research Paper Series.
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2004Dynamic oligopolies without full information and with continuously distributed time lags In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article10
2006A re-evaluation of adaptive expectations in light of global nonlinear dynamic analysis In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article15
2006An analysis of the cobweb model with boundedly rational heterogeneous producers In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article14
2007Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]		article72
2005Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework.(2005) In: Research Paper Series.
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2012Stock market booms, endogenous credit creation and the implications of broad and narrow banking for macroeconomic stability In: Journal of Economic Behavior & Organization.
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2011Stock market booms, endogenous credit creation and the implications of broad and narrow banking for macroeconomic stability.(2011) In: Working Papers.
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2012Estimating behavioural heterogeneity under regime switching In: Journal of Economic Behavior & Organization.
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2011Estimating Behavioural Heterogeneity Under Regime Switching.(2011) In: Research Paper Series.
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2012Structural contagion and vulnerability to unexpected liquidity shortfalls In: Journal of Economic Behavior & Organization.
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2006Keynesian dynamics and the wage-price spiral: A baseline disequilibrium model In: Journal of Macroeconomics.
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2004Keynesian Dynamics and the Wage-Price Spiral: A Baseline Disequilibrium Model.(2004) In: Working Paper Series.
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2006Moving average rules as a source of market instability In: Physica A: Statistical Mechanics and its Applications.
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2008The stochastic bifurcation behaviour of speculative financial markets In: Physica A: Statistical Mechanics and its Applications.
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2009Does the market maker stabilize the market? In: Physica A: Statistical Mechanics and its Applications.
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1986Competitive capitalism and cooperative labor management in a dynamic nutshell In: European Journal of Political Economy.
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1989The dynamic behaviour of workers enterprises In: European Journal of Political Economy.
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1990Excessive exchange rate variability : A possible explanation using nonlinear economic dynamics In: European Journal of Political Economy.
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1991The bifurcation of probability distributions in a non-linear rational expectations model of monetary economy In: European Journal of Political Economy.
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2001The macrodynamics of debt deflation In: Chapters.
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1999The Macrodynamics of Debt Deflation.(1999) In: SCEPA working paper series. SCEPA's main areas of research are macroeconomic policy, inequality and poverty, and globalization..
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2010Keynesian Macrodynamics: Convergence, Roads to Instability and the Emergence of Complex Business Fluctuations In: Czech Economic Review.
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2001Asset price dynamics in a financial market with fundamentalists and chartists In: Discrete Dynamics in Nature and Society.
[Full Text][Citation analysis]		article0
2005Keynesian Dynamics and the Wage-Price Spiral: Analyzing and Estimating a Baseline Disequilibrium Model In: The IUP Journal of Monetary Economics.
[Citation analysis]		article2
2011The dynamic behaviour of asset prices in disequilibrium: a survey In: International Journal of Behavioural Accounting and Finance.
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1984On the Economics of International Fisheries. In: International Economic Review.
[Full Text][Citation analysis]		article25
2013An evolutionary CAPM under heterogeneous beliefs In: Annals of Finance.
[Full Text][Citation analysis]		article20
2012An Evolutionary CAPM Under Heterogeneous Beliefs.(2012) In: Research Paper Series.
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2003A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework In: Asia-Pacific Financial Markets.
[Full Text][Citation analysis]		article9
2004A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework.(2004) In: Research Paper Series.
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2002Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model. In: Computational Economics.
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1999Heterogeneous Beliefs, Risk and Learning in a Simple Asset-Pricing Model.(1999) In: Computing in Economics and Finance 1999.
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1999Heterogeneous Beliefs, Risks and Learning in a Simple Asset Pricing Model.(1999) In: Research Paper Series.
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2003An Implementation of Bouchouevs Method for a Short Time Calibration of Option Pricing Models In: Computational Economics.
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2003Asset Price Dynamics among Heterogeneous Interacting Agents In: Computational Economics.
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2002Asset Price Dynamics among Heterogeneous Interacting Agents.(2002) In: Computing in Economics and Finance 2002.
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2006The Multifactor Nature of the Volatility of Futures Markets In: Computational Economics.
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2006The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method In: Computational Economics.
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2005The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method.(2005) In: Research Paper Series.
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2007Intertemporal asset allocation when the underlying factors are unobservable In: Computational Economics.
[Full Text][Citation analysis]		article1
2008A Model of Financial Market Dynamics with Heterogeneous Beliefs and State-Dependent Confidence In: Computational Economics.
[Full Text][Citation analysis]		article2
2011Foreword to the Special Issue of Computational Economics on Complex Dynamics in Economics and Finance In: Computational Economics.
[Full Text][Citation analysis]		article0
1996Book reviews In: Journal of Economics.
[Full Text][Citation analysis]		article1
2002Book Reviews In: Journal of Economics.
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2003Book Reviews In: Journal of Economics.
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2003Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields In: Review of Derivatives Research.
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2014Business Confidence and Macroeconomic Dynamics in a Nonlinear Two-Country Framework with Aggregate Opinion Dynamics In: Working Papers.
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Interacting Two-Country Business Fluctuations In: Modeling, Computing, and Mastering Complexity 2003.
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2003Interacting Two-Country Business Fluctuations.(2003) In: Working Paper Series.
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2000THE EVALUATION OF MULTIASSET EUROPEAN AND AMERICAN OPTIONS VIA FOURIER HERMITE SERIES EXPANSIONS In: Computing in Economics and Finance 2000.
[Citation analysis]		paper0
2001A Non-Stationary Asset Pricing Model under Heterogeneous Expectations In: Computing in Economics and Finance 2001.
[Citation analysis]		paper0
2002An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies In: Computing in Economics and Finance 2002.
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2002An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies.(2002) In: Research Paper Series.
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2002A Short Time Expansion of the Volatility Function For The Calibration of Option Pricing Models. In: Computing in Economics and Finance 2002.
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2002On Market Games with Misspecified Demand Functions : Long Run Outcomes and Global Dynamics In: Computing in Economics and Finance 2002.
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2002The Pricing of Multifactor Derivative Securities in a Path-Integral Framework using Multidimensional Fourier-Hermite Series Expansions In: Computing in Economics and Finance 2002.
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2002A simple microstructure model of double auction markets In: Computing in Economics and Finance 2002.
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2002Numerical Investigations of the Heath Jarrow Morton Model with Forward Rate Dependent Volatility In: Computing in Economics and Finance 2002.
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2002PRICE DYNAMICS AND DIVERSIFICATION UNDER HETEROGENEOUS EXPECTATIONS In: Computing in Economics and Finance 2002.
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2002Nonlinear Phillips Curves, the Emergence of Complex Dynamics and the Role of Monetary Policy Rules In: Computing in Economics and Finance 2002.
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2003Issues in Evaluating Multifactor Options in a PDE Framework In: Computing in Economics and Finance 2003.
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2003An Implementation of the Shirakawa Jump-Diffusion Term Structure Model In: Computing in Economics and Finance 2003.
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2003Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers In: Computing in Economics and Finance 2003.
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2003Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers.(2003) In: Research Paper Series.
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2003McKean’s Method applied to American Call Options on Jump-Diffusion Processes In: Computing in Economics and Finance 2003.
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2004McKeans Methods Applied to American Call Options on Jump-Diffusion Processes.(2004) In: Research Paper Series.
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2004Keynesian Dynamics and the Wage-Price Spiral:Estimating a Baseline Disequilibrium Approach In: Computing in Economics and Finance 2004.
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2004Pricing American Options on Jump-Diffusion Processes using Fourier-Hermite Series Expansions In: Computing in Economics and Finance 2004.
[Citation analysis]		paper3
2005Pricing American Options on Jump-Diffusion Processes using Fourier Hermite Series Expansions.(2005) In: Research Paper Series.
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2004Stratetic Asset Allocation with an Arbitrage-Free Bond Market using Dynamic Programming In: Computing in Economics and Finance 2004.
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2005Intertemporal Asset Allocation with Inflation-Indexed Bonds In: Computing in Economics and Finance 2005.
[Citation analysis]		paper0
2005Keynesian Dynamics and the Wage-Price Spiral:Estimating and Analyzing a Baseline Disequilibrium Approach In: Computing in Economics and Finance 2005.
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