Speculative bubbles and crashes： Fundamentalists and positive‐feedback trading

References

• Abreu, D., & Brunnermeier, M. K. (2003). Bubbles and Crashes. Econometrica, 71(1), 173–204.10.1111/ecta.2003.71.issue-1
   Web of Science ®Google Scholar
• Alfarano, S., Lux, T., & Wagner, F. (2005). Estimation of agent-based models: The case of an asymmetric herding model. Computational Economics, 26(1), 19–49.10.1007/s10614-005-6415-1
   Google Scholar
• Backus, D., Chernov, M., & Zin, S. (2014). Sources of entropy in representative agent models. The Journal of Finance, 69(1), 51–99.10.1111/jofi.12090
   Web of Science ®Google Scholar
• Baker, M., & Wurgler, J. (2007). Investor sentiment in the stock market. Journal of Economic Perspectives, 21(2), 129–151.10.1257/jep.21.2.129
   Web of Science ®Google Scholar
• Barber, B. M., & Odean, Terrance (2000). trading is hazardous to your wealth: The common stock investment performance of individual investors. The Journal of Finance, 55(2), 773–806.10.1111/0022-1082.00226
   Web of Science ®Google Scholar
• Barber, B. M., Odean, T., & Zhu, N. (2009). Do retail trades move markets? Review of Financial Studies, 22(1), 151–186.10.1093/rfs/hhn035
   Web of Science ®Google Scholar
• Barberis, N., Greenwood, R., Jin, L., & Shleifer, A. (2015). X-CAPM: An extrapolative capital asset pricing model. Journal of Financial Economics, 115(1), 1–24.10.1016/j.jfineco.2014.08.007
   Web of Science ®Google Scholar
• Barro, R. J. (2006). Rare disasters and asset markets in the twentieth century. Quarterly Journal of Economics, 121(3), 823–866.10.1162/qjec.121.3.823
   Web of Science ®Google Scholar
• Black, F. (1986). Noise. The Journal of Finance, 41(3), 529–543.10.1111/j.1540-6261.1986.tb04513.x
   Web of Science ®Google Scholar
• Blanchard, O. J., & Watson, M. W. (1982). Bubbles, rational expectations and financial markets. In P. Wachtel (Ed.), Crises in the economic and financial structure (pp. 295–316). Lexington, MA: D.C. Heathand Company.
   Google Scholar
• Bloomfield, R., O’Hara, M., & Saar, G. (2009). How noise trading affects markets: An experimental analysis. Review of Financial Studies, 22(6), 2275–2302.10.1093/rfs/hhn102
   Web of Science ®Google Scholar
• Boswijk, H. P., Hommes, C. H., & Manzan, S. (2007). Behavioral heterogeneity in stock prices. Journal of Economic Dynamics and Control, 31(6), 1938–1970.10.1016/j.jedc.2007.01.001
   Web of Science ®Google Scholar
• Brock, W. A., & Hommes, C. H. (1998). Heterogeneous beliefs and routes to chaos in a simple asset pricing model. Journal of Economic Dynamics and Control, 22(8–9), 1235–1274.
   Web of Science ®Google Scholar
• Brunnermeier, K. M., & Nagel, S. (2004). Hedge funds and the technology bubble. The Journal of Finance, 59(5), 2013–2040.10.1111/j.1540-6261.2004.00690.x
   Web of Science ®Google Scholar
• Chernobai, A. S., Rachev, S. T., & Fabozzi, F. J. (2007). Operational risk: A guide to Basel II capital requirements, models, and analysis. Hoboken, NJ: John Wiley & Sons.
   Google Scholar
• Chuang, W.-I., & Susmel, R. (2011). Who is the more overconfident trader? Individual vs. institutional investors. Journal of Banking & Finance, 35(7), 1626–1644.10.1016/j.jbankfin.2010.11.013
   Web of Science ®Google Scholar
• Crutcher, H. L. (1975). A note on the possible misuse of the Kolmogorov-Smirnov test. Journal of Applied Meteorology, 14(8), 1600–1603.10.1175/1520-0450(1975)014<1600:ANOTPM>2.0.CO;2
   Google Scholar
• Dallal, G. E., & Wilkinson, L. (1986). An analytic approximation to the distribution of Lilliefors’s test statistic for normality. The American Statistician, 40(4), 294–296.
   Web of Science ®Google Scholar
• Darling, D. A. (1957). The Kolmogorov-Smirnov, Cramer-von Mises tests. The Annals of Mathematical Statistics, 28(4), 823–838.10.1214/aoms/1177706788
   Google Scholar
• de Jong, E., Verschoor, W. F. C., & Zwinkels, R. C. J. (2010). Heterogeneity of agents and exchange rate dynamics: Evidence from the EMS. Journal of International Money and Finance, 29(8), 1652–1669.10.1016/j.jimonfin.2010.05.007
   Web of Science ®Google Scholar
• De Long, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1989). The size and incidence of the losses from noise trading. The Journal of Finance, 44(3), 681–696.10.1111/j.1540-6261.1989.tb04385.x
   Web of Science ®Google Scholar
• De Long, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1990a). Positive feedback investment strategies and destabilizing rational speculation. The Journal of Finance, 45(2), 379–395.10.1111/j.1540-6261.1990.tb03695.x
   Web of Science ®Google Scholar
• De Long, J. B., Shleifer, A., Summers, L. H., & Waldmann, R. J. (1990b). Noise trader risk in financial markets. Journal of Political Economy, 98(4), 703–738.10.1086/261703
   Web of Science ®Google Scholar
• De Long, J. B., Shleifer, A., Summers, L. H. &, Waldmann, R. J. (1991). The survival of noise traders in financial markets. Journal of Business, 64(1), 1–19.
   Web of Science ®Google Scholar
• Edelen, R. M., Marcus, A. J., & Tehranian, H. (2010). Relative sentiment and stock returns. Financial Analysts Journal, 66(4), 20–32.10.2469/faj.v66.n4.2
   Web of Science ®Google Scholar
• Frankel, J. A., & Froot, K. A. (1990). Chartists, fundamentalists, and trading in the foreign exchange market. American Economic Review, 80(2), 181–185.
   Web of Science ®Google Scholar
• Frankel, J. A., & Froot, K. A. (1991, October). Chartists, fundamentalists and the demand for dollars (No. r1655). Cambridge, MA: National Bureau of Economic Research.
   Google Scholar
• Glosten, L. R., & Milgrom, P. R. (1985). Bid, ask and transaction prices in a specialist market with heterogeneously informed traders. Journal of Financial Economics, 14(1), 71–100.10.1016/0304-405X(85)90044-3
   Web of Science ®Google Scholar
• Greenwood, R., & Shleifer, A. (2013). Expectations of returns and expected returns (No. w18686). Cambridge, MA: National Bureau of Economic Research.10.3386/w18686
   Google Scholar
• Griffin, J. M., Harris, J. H., Shu, T., & Topaloglu, S. (2011). Who drove and burst the tech bubble? The Journal of Finance, 66(4), 1251–1290.10.1111/j.1540-6261.2011.01663.x
   Web of Science ®Google Scholar
• Harrison, J. M., & Kreps, D. M. (1978). Speculative investor behavior in a stock market with heterogeneous expectations. Quarterly Journal of Economics, 92(2), 323–336.10.2307/1884166
   Web of Science ®Google Scholar
• Hens, T., & Schenk-Hoppé, K. R. (eds.) (2009). Handbook of financial markets: Dynamics and evolution. Amsterdam: North-Holland.
   Google Scholar
• Hirshleifer, D., & Luo, G. Y. (2001). On the survival of overconfident traders in a competitive securities market. Journal of Financial Markets, 4(1), 73–84.10.1016/S1386-4181(00)00014-8
   Google Scholar
• Julliard, C., & Ghosh, A. (2012). Can rare events explain the equity premium puzzle? Review of Financial Studies, 25(10), 3037–3076.10.1093/rfs/hhs078
   Web of Science ®Google Scholar
• Kaizoji, T. (2002). Speculative dynamics in a heterogeneous agent model. Nonlinear Dynamics, Psychology, & Life Sciences, 217–229.10.1023/A:1014070413635
   Google Scholar
• Kaizoji, T. (2004). Speculative bubbles and fat tail phenomena in a heterogeneous‐agent model. In International Symposia in Economic Theory and Econometrics (Vol. 14, 259–275). Emerald Group Publishing Limited.
   Google Scholar
• Kirchler, M., & Huber, J. (2007). Fat tails and volatility clustering in experimental asset markets. Journal of Economic Dynamics and Control, 31(6), 1844–1874.10.1016/j.jedc.2007.01.009
   Web of Science ®Google Scholar
• Kyle, A. S. (1985). Continuous auctions and insider trading. Econometrica, 53(6), 1315–1335.10.2307/1913210
   Web of Science ®Google Scholar
• LeBaron, B. (2000). Agent-based computational finance: Suggested readings and early research. Journal of Economic Dynamics and Control, 24(5), 679–702.10.1016/S0165-1889(99)00022-6
   Web of Science ®Google Scholar
• LeBaron, B. (2012). Heterogeneous gain learning and the dynamics of asset prices. Journal of Economic Behavior & Organization, 83(3), 424–445.10.1016/j.jebo.2012.03.003
   Web of Science ®Google Scholar
• LeBaron, B., Arthur, W. B., & Palmer, R. (1999). Time series properties of an artificial stock market. Journal of Economic Dynamics and Control, 23(9), 1487–1516.10.1016/S0165-1889(98)00081-5
   Web of Science ®Google Scholar
• Lux, T. (1998). The socio-economic dynamics of speculative markets: Interacting agents, chaos, and the fat tails of return distributions. Journal of Economic Behavior & Organization, 33(2), 143–165.10.1016/S0167-2681(97)00088-7
   Web of Science ®Google Scholar
• Lux, T., & Marchesi, M. (1999). Scaling and criticality in a stochastic multi-agent model of a financial market. Nature, 397(6719), 498–500.10.1038/17290
   Web of Science ®Google Scholar
• Lux, T., & Marchesi, M. (2000). Volatility clustering in financial markets: A microsimulation of interacting agents. International Journal of Theoretical and Applied Finance, 3(4), 675–702.
   Google Scholar
• Mehra, R., & Prescott, E. C. (1985). The equity premium: A puzzle. Journal of Monetary Economics, 15(2), 145–161.10.1016/0304-3932(85)90061-3
   Web of Science ®Google Scholar
• Odean, T. (1998). Volume, volatility, price, and profit when all traders are above average. The Journal of Finance, 53(6), 1887–1934.10.1111/0022-1082.00078
   Web of Science ®Google Scholar
• Peng, L. (2005). Learning with information capacity constraints. Journal of Financial and Quantitative Analysis, 40(2), 307–329.10.1017/S0022109000002325
   Web of Science ®Google Scholar
• Qiu, L., & Welch, I. (2004). Investor sentiment measures (No. w10794). Cambridge, MA: National Bureau of Economic Research.10.3386/w10794
   Google Scholar
• Rietz, T. A. (1988). The equity risk premium a solution. Journal of Monetary Economics, 22(1), 117–131.10.1016/0304-3932(88)90172-9
   Web of Science ®Google Scholar
• Shleifer, A., & Summers, L. H. (1990). The noise trader approach to finance. Journal of Economic Perspectives, 4(2), 19–33.10.1257/jep.4.2.19
   Web of Science ®Google Scholar
• Sims, C. A. (2003). Implications of rational inattention. Journal of Monetary Economics, 50(3), 665–690.10.1016/S0304-3932(03)00029-1
   Web of Science ®Google Scholar
• Stephens, M. A. (1974). EDF Statistics for Goodness of Fit and Some Comparisons. Journal of the American Statistical Association, 69(347), 730–737.10.1080/01621459.1974.10480196
   Web of Science ®Google Scholar
• Tesfatsion, L., & Judd, K. L. (Eds.). (2006). Handbook of computational economics: Agent-based computational economics (Vol. 2). Amsterdam: North-Holland.
   Google Scholar
• Thurner, S., Farmer, J. D., & Geanakoplos, J. (2012). Leverage causes fat tails and clustered volatility. Quantitative Finance, 12(5), 695–707.10.1080/14697688.2012.674301
   Web of Science ®Google Scholar
• Van Nieuwerburgh, S., & Veldkamp, L. (2010). Information acquisition and under-diversification. Review of Economic Studies, 77(2), 779–805.10.1111/roes.2010.77.issue-2
   Web of Science ®Google Scholar
• Youssefmir, M., & Huberman, B. A. (1997). Clustered volatility in multiagent dynamics. Journal of Economic Behavior & Organization, 32(1), 101–118.10.1016/S0167-2681(96)00021-2
   Web of Science ®Google Scholar