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A Queueing Theory Description of Fat-Tailed Price Returns in Imperfect Financial Markets

https://doi.org/10.2139/ssrn.1651892
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/s00186-007-0174-9openalex-extracted
Moments of first passage times in general birth–death processes
inferredcites →https://doi.org/10.1016/0167-2681(94)90032-9openalex-extracted
Experiments in decision, organization and exchange
inferredcites →https://doi.org/10.1016/j.jedc.2006.12.014openalex-extracted
Time variation of higher moments in a financial market with heterogeneous agents: An analytical approach
inferredcites →https://doi.org/10.1016/j.physa.2005.02.029openalex-extracted
A threshold model of investor psychology
inferredcites →https://doi.org/10.1016/j.physa.2008.01.061openalex-extracted
Rational expectations, psychology and inductive learning via moving thresholds
inferredcites →https://doi.org/10.1016/s1574-0102(03)01027-6openalex-extracted
Chapter 18 A survey of behavioral finance
inferredcites →https://doi.org/10.1017/cbo9780511755767openalex-extracted
Introduction to Econophysics
inferredcites →https://doi.org/10.1080/713665670openalex-extracted
Empirical properties of asset returns: stylized facts and statistical issues
inferredcites →https://doi.org/10.1088/0034-4885/70/3/r03openalex-extracted
Agent-based models of financial markets
inferredcites →https://doi.org/10.1088/1469-7688/1/2/304openalex-extracted
inferredcites →https://doi.org/10.1088/1742-6596/55/1/005openalex-extracted
A mean-field model of investor behaviour
inferredcites →https://doi.org/10.1126/science.185.4157.1124openalex-extracted
Judgment under Uncertainty: Heuristics and Biases
inferredcites →https://doi.org/10.1140/epjb/e2007-00108-5openalex-extracted
Stylized facts from a threshold-based heterogeneous agent model
inferredcites →https://doi.org/10.1140/epjb/e2008-00059-3openalex-extracted
Critical comparison of several order-book models for stock-market fluctuations
inferredcites →https://doi.org/10.1142/s0219024908005019openalex-extracted
MARKET STATISTICS OF A PSYCHOLOGY-BASED HETEROGENEOUS AGENT MODEL
inferredcites →https://doi.org/10.1287/moor.26.3.485.10584openalex-extracted
Tail Asymptotics for the Busy Period in the GI/G/1 Queue
inferredcites →https://doi.org/10.1287/opre.11.1.88openalex-extracted
Some Queuing Problems with Balking and Reneging. I
inferredcites →https://doi.org/10.1287/opre.11.6.928openalex-extracted
Some Queuing Problems with Balking and Reneging—II
inferredcites →https://doi.org/10.1515/9783110936025openalex-extracted
Queueing Theory
inferredcites →https://doi.org/10.2307/1909635openalex-extracted
Rational Expectations and the Theory of Price Movements
inferredcites →https://doi.org/10.2307/2325486openalex-extracted
Efficient Capital Markets: A Review of Theory and Empirical Work
inferredcites →https://doi.org/10.2307/3212973openalex-extracted
On the asymptotic behaviour of the distributions of the busy period and service time in M/G/ 1
inferredcites →https://doi.org/10.2469/faj.v55.n2.2263openalex-extracted
Volatility, Sentiment, and Noise Traders
inferredcites →https://doi.org/10.82444/warw.33483196openalex-snapshot
Should network structure matter in agent-based finance?

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inferred← citeshttps://doi.org/10.4236/jmf.2022.122020openalex-snapshot
Maximum Principle for Rotating Banack-Hausdorff Stocks
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