References
- Bank for International Settlements . 2006 . The recent behaviour of financial market volatility . BIS Release Paper , 29 August
- Derman , E . 2001 . A guide for the perplexed quant . Quant. Finan. , 1 ( 5 ) : 476 – 480 .
- Fabozzi , FJ , Focardi , SM and Jonas , CL . 2004 . Trends in quantitative asset, management in Europe . J. Portfolio Manag. , 31 ( 4 ) : 125 – 132 . (Special European Section)
- Granger , CWJ . 1992 . Forecasting stock market prices: lessons for forecasters . Int. J. Forecast. , 8 : 3 – 13 .
- Jegadeesh , N and Titman , S . 1993 . Returns to buying winners and selling losers: implications for stock market efficiency . J. Finan. , 48 ( 1 ) : 65 – 92 .
- Jegadeesh , N and Titman , S . 2002 . Cross-sectional and time-series determinants of momentum returns . Rev. Financ. Stud. , 15 ( 1 ) : 143 – 158 .
- Kahneman , D . 2003 . Maps of bounded rationality: psychology for behavioral economics . Am. Econ. Rev. , 93 ( 5 ) : 1449 – 1475 .
- Karolyi , GA and Kho , B-C . 2004 . Momentum strategies: some bootstrap tests . J. Empiric. Finan. , 11 : 509 – 536 .
- LeBaron , B . 2006 . “ Agent-based computational finance ” . In Handbook of Computational Economics , Edited by: Tesfatsion , L and Judd , K . Amsterdam : North-Holland .
- Leinweber , D . 1999 . Is quantitative investing dead? . Pensions & Investments , 8 February
- Lo , A . 2004 . The adaptive markets hypothesis . J. Portfolio Manag , 30 (Anniversary Issue) : 15 – 29 .
- Lo , A and MacKinley , C . 1988 . Stock market prices do not follow random walks: evidence from a simple specification test . Rev. Financ. Stud. , 1 : 41 – 66 .
- Milevsky , M . 2004 . A diffusive wander through human life . Quant. Finan. , 4 ( 2 ) : 21 – 23 .
- Pan , H , Sornette , D and Kortanek , K . 2006 . Intelligent finance—an emerging direction . Quant. Finan. , 6 ( 4 ) : 273 – 277 .
- Pesaran , MH . 2005 . “ Market efficiency today ” . In Working Paper 05.41 , Institute of Economic Policy Research .
- Sargent , J.T . 1994 . Bounded Rationality in Macroeconomics , New York : Oxford University Press .
- Torbin , A , Bollerslev , T , Diebold , FX and Labys , P . 2003 . Modeling and forecasting realized volatility . Econometrica , 71 ( 2 ) : 579 – 625 .