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Details about Simone Alfarano

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Workplace:Departament d'Economia (Economics Department), Universitat Jaume I (Jaume I University), (more information at EDIRC)
Laboratori d'Economia Experimental (LEE), Universitat Jaume I (Jaume I University), (more information at EDIRC)

Access statistics for papers by Simone Alfarano.

Last updated 2014-10-23. Update your information in the RePEc Author Service.

Short-id: pal340


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Working Papers

2014

  1. A spectral perspective on excess volatility
    FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents Downloads
    Also in Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain) (2014) Downloads
  2. Gibrat's law redux: Think profitability instead of growth
    Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain) Downloads
    Also in BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group (2014) Downloads
  3. The Interplay between Public and Private Information in Asset Markets: Theoretical and Experimental Approaches
    FinMaP-Working Papers, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents Downloads

2013

  1. The real versus the financial economy: A global tale of stability versus volatility
    Economics Discussion Papers, Kiel Institute for the World Economy Downloads
    See also Journal Article in Economics - The Open-Access, Open-Assessment E-Journal (2014)

2012

  1. On the distributional properties of size, pro fit and growth of Icelandic firms
    MPRA Paper, University Library of Munich, Germany Downloads
    Also in Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain) (2012) Downloads

    See also Journal Article in Journal of Economic Interaction and Coordination (2013)

2011

  1. A Note on institutional hierarchy and volatility in financial markets
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in The European Journal of Finance (2013)
  2. Extreme Value Theory as a Theoretical Background for Power Law Behavior
    Working Papers, Economics Department, Universitat Jaume I, Castellón (Spain) Downloads
    Also in Kiel Working Papers, Kiel Institute for the World Economy (2010) Downloads
    Working Papers, Warwick Business School, Finance Group (2006) Downloads
    MPRA Paper, University Library of Munich, Germany (2010) Downloads
  3. The Small Core of the German Corporate Board Network: New Evidence from 2010
    Kiel Working Papers, Kiel Institute for the World Economy Downloads
  4. The fine structure of spectral properties for random correlation matrices: an application to financial markets
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
    Also in Papers, arXiv.org (2011) Downloads View citations (5)
  5. The role of public and private information in a laboratory financial market
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads

2010

  1. Estimation of a simple genetic algorithm applied to a laboratory experiment
    MPRA Paper, University Library of Munich, Germany Downloads
  2. Excess Volatility and Herding in an Artificial Financial Market: Analytical Approach and Estimation
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
  3. Identification of Interaction Effects in Survey Expectations: A Cautionary Note
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    Also in BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group (2010) Downloads View citations (4)

    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2012)

2009

  1. Network hierarchy in Kirman's ant model: fund investment can create systemic risk
    Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics Downloads View citations (2)

2008

  1. A Statistical Equilibrium Model of Competitive Firms
    Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics Downloads View citations (4)
    See also Journal Article in Journal of Economic Dynamics and Control (2012)
  2. Does Classical Competition Explain the Statistical Features of Firm Growth?
    Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics Downloads View citations (7)
    See also Journal Article in Economics Letters (2008)
  3. Should Network Structure Matter in Agent-Based Finance?
    Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics Downloads View citations (6)
    Also in Working Papers, Warwick Business School, Finance Group (2007) Downloads
  4. The Small Core of the German Corporate Board Network
    Kiel Working Papers, Kiel Institute for the World Economy Downloads View citations (4)

2007

  1. A Simple Asymmetric Herding Model to Distinguish Between Stock and Foreign Exchange Markets
    Working Papers, Warwick Business School, Finance Group Downloads View citations (5)

2006

  1. A Noise Trader Model as a Generator of Apparant Power Laws and Long Memory
    Working Papers, Warwick Business School, Finance Group Downloads
  2. A minimal noise trader model with realistic time series properties
    Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics Downloads
    Also in Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics (2003) Downloads View citations (5)
  3. Empirical Validation of Stochastic Models of Interacting Agents: A 'Maximally Skewed' Noise Trader Model
    Working Papers, Warwick Business School, Finance Group Downloads
  4. Time-Variation of Higher Moments in a Financial Market with Heterogeneous Agents: An Analytical Approach
    Working Papers, Warwick Business School, Finance Group Downloads
    Also in Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics (2005) Downloads View citations (6)
    Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics (2006) Downloads
    Working Papers, Warwick Business School, Finance Group (2005) Downloads View citations (13)

    See also Journal Article in Journal of Economic Dynamics and Control (2008)

2005

  1. A noise trader model as a generator of apparent financial power laws and long memory
    Economics Working Papers, Christian-Albrechts-University of Kiel, Department of Economics Downloads View citations (15)
    See also Journal Article in Macroeconomic Dynamics (2007)

2004

  1. Critical behaviour and system size in agent-based models: an explanation
    Computing in Economics and Finance 2004, Society for Computational Economics

2002

  1. A minimal noise trader model with realistic time series
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (6)

Journal Articles

2014

  1. The real versus the financial economy: A global tale of stability versus volatility
    Economics - The Open-Access, Open-Assessment E-Journal, 2014, 8, 1-26 Downloads View citations (2)
    See also Working Paper (2013)

2013

  1. A note on institutional hierarchy and volatility in financial markets
    The European Journal of Finance, 2013, 19, (6), 449-465 Downloads
    See also Working Paper (2011)
  2. On the distributional properties of size, profit and growth of Icelandic firms
    Journal of Economic Interaction and Coordination, 2013, 8, (1), 57-74 Downloads View citations (4)
    See also Working Paper (2012)

2012

  1. A statistical equilibrium model of competitive firms
    Journal of Economic Dynamics and Control, 2012, 36, (1), 136-149 Downloads View citations (12)
    See also Working Paper (2008)
  2. Der dichte Kern des Netzwerks deutscher Aufsichtsräte und Unternehmensvorstände
    Wirtschaftsdienst, 2012, 92, (11), 770-776 Downloads
  3. Identification of Interaction Effects in Survey Expectations: A Cautionary Note
    Studies in Nonlinear Dynamics & Econometrics, 2012, 16, (4), 1-23 Downloads
    See also Working Paper (2010)

2010

  1. Firm profitability and the network of organizational capabilities
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (21), 4769-4775 Downloads View citations (2)
  2. What distinguishes individual stocks from the index?
    The European Physical Journal B - Condensed Matter and Complex Systems, 2010, 73, (1), 23-28 Downloads View citations (1)

2009

  1. Network structure and N-dependence in agent-based herding models
    Journal of Economic Dynamics and Control, 2009, 33, (1), 78-92 Downloads View citations (18)

2008

  1. A nonparametric approach tothe noise density in stochastic volatility models
    Applied Financial Economics Letters, 2008, 4, (5), 311-314 Downloads
  2. Does classical competition explain the statistical features of firm growth?
    Economics Letters, 2008, 101, (3), 272-274 Downloads View citations (12)
    See also Working Paper (2008)
  3. Time variation of higher moments in a financial market with heterogeneous agents: An analytical approach
    Journal of Economic Dynamics and Control, 2008, 32, (1), 101-136 Downloads View citations (22)
    See also Working Paper (2006)

2007

  1. A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY
    Macroeconomic Dynamics, 2007, 11, (S1), 80-101 Downloads View citations (17)
    See also Working Paper (2005)
  2. Empirical validation of stochastic models of interacting agents
    The European Physical Journal B - Condensed Matter and Complex Systems, 2007, 55, (2), 183-187 Downloads View citations (2)

2006

  1. Estimation of a simple agent-based model of financial markets: An application to Australian stock and foreign exchange data
    Physica A: Statistical Mechanics and its Applications, 2006, 370, (1), 38-42 Downloads View citations (7)
  2. On the role of heterogeneous and imperfect information in a laboratory financial market
    Central European Journal of Operations Research, 2006, 14, (4), 417-433 Downloads View citations (5)

2005

  1. Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model
    Computational Economics, 2005, 26, (1), 19-49 Downloads View citations (86)
 
Page updated 2014-10-24