13.07.2015 Views

BERND PAPE Asset Allocation, Multivariate Position Based Trading ...

BERND PAPE Asset Allocation, Multivariate Position Based Trading ...

BERND PAPE Asset Allocation, Multivariate Position Based Trading ...

SHOW MORE
SHOW LESS

You also want an ePaper? Increase the reach of your titles

YUMPU automatically turns print PDFs into web optimized ePapers that Google loves.

ACTA WASAENSIA 159Loretan, M. & W. B. English (2000). Evaluating “correlation breakdowns” duringperiods of market volatility. International Finance Discussion Paper 658, Board ofGovernors of the Federal Reserve System, Washington DC.Loretan, M. & P. C. Phillips (1994). Testing the covariance stationarity of heavy-tailedtime series. Journal of Empirical Finance 1, 211—248.Lucas, R. E. (1986). Adaptive behavior and economic theory. Journal of Business59:4, 401—426.Lui, Y.-H. & D. Mole (1998). The use of fundamental and technical analysis by foreignexchange dealers: Hong Kong evidence. Journal of International Money and Finance17:3, 535—545.Lux, T. (1995). Herd behaviour, bubbles and crashes. Economic Journal 105:431,881—896.Lux, T. (1996a). Long-term stochastic dependence in financial prices: Evidence fromthe German stock market. Applied Economics Letters 3, 701—706.Lux, T. (1996b). The stable Paretian hypothesis and the frequency of large returns:an examination of major German stocks. Applied Financial Economics 6, 463—475.Lux, T. (1998). The socio-economic dynamics of speculative markets: interactingagents, chaos, and the fat tails of return distributions. Journal of Economic Behaviorand Organization 33, 143—165.Lux, T. (2001). Power laws and long memory. Quantitative Finance 1:6, 560—562.Lux, T. & M. Ausloos (2002). Market fluctuations I: Scaling, multiscaling, and theirpossible origins. In Bunde, A., J. Kropp & H. J. Schellnhuber, editors, The Scienceof Disasters, pages 373—409, Berlin. Springer.Lux, T. & M. Marchesi (1999). Scaling and criticality in a stochastic multi-agent modelof a financial market. Nature 397, 498—500.Lux, T. & M. Marchesi (2000). Volatility clustering in financial markets: A microsimulationof interacting agents. International Journal of Theoretical and Applied Finance3:4, 675—702.

Hooray! Your file is uploaded and ready to be published.

Saved successfully!

Ooh no, something went wrong!