166 citations · 773 across the 24 of their papers we have counts for
25 papers
Rational expectations as a tool for predicting failure of weighted k-out-of-n reliability systems
Jorgen Vitting Andersen, Roy Cerqueti, Jessica Riccioni
Here we introduce the idea of using rational expectations, a core concept in economics and finance, as a tool to predict the optimal failure time for a wide class of weighted k-out…
Defining an intrinsic stickiness parameter of stock price returns
Naji Massad, Jørgen Vitting Andersen
We introduce a non linear pricing model of individual stock returns that defines a stickiness parameter of the returns. The pricing model resembles the capital asset pricing model…
Three Different Ways Synchronization Can Cause Contagion in Financial Markets
Naji Massad, Jørgen Vitting Andersen
We introduce tools to capture the dynamics of three different pathways, in which the synchronization of human decision-making could lead to turbulent periods and contagion phenomen…
Communication impacting financial markets
Jorgen Vitting Andersen, Ioannis Vrontos, Petros Dellaportas +1
Behavioral finance has become an increasingly important subfield of finance. However the main parts of behavioral finance, prospect theory included, understand financial markets th…
Impact of information cost and switching of trading strategies in an artificial stock market
Yi-Fang Liu, Wei Zhang, Chao Xu +2
This paper studies the switching of trading strategies and its effect on the market volatility in a continuous double auction market. We describe the behavior when some uninformed…
Pricing stocks with yardsticks and sentiments
Sebastıan Martınez Bustos, Jorgen Vitting Andersen, Michel Miniconi +3
Human decision making by professionals trading daily in the stock market can be a daunting task. It includes decisions on whether to keep on investing or to exit a market subject t…