Finance
Bubbles
*Adam et al. (2007): "Stock Market Volatility and Learning"
pdf
Bouchaud (2012): "Crises and collective socio-economic phenomena: simple models and challenges"
link
William Branch and George Evans (2006): "Asset Return Dynamics and Learning"
pdf
*William Branch and George Evans (2010): "Learning about Risk and Return: A Simple Model of Bubbles and Crashes"
pdf
*William Branch and George Evans (2011): "Bubbles, Crashes and Risk"
pdf
Camerer (1989): "Bubbles and Fads in Asset Prices"
pdf
*de Martino et al. (2013): "In the mind of the market: theory of mind biases value computation during financial bubbles"
link
Behzad T. Diba and Herschel I. Grossman (1988): "The Theory of Rational Bubbles in Stock Prices"
pdf
Alberto Martin and Jaume Ventura (2011): "Economic Growth with Bubbles"
pdf
Obstfeld and Rogoff (1986): "Ruling out divergent speculative bubbles"
pdf
(In which it appears to be argued that bubbles arise from traders having incomplete information)
Wei Xiong (2013): "Bubbles, Crises, and Heterogeneous Beliefs"
pdf
(Review article)
Computational Finance
Arora (2011): "Computational complexity and information asymmetry in financial products"
link
Quantitative Finance
MacKinlay (1997): "Event Studies in Economics and Finance"
pdf
Mathematical Finance
Elise Payzan-LeNestour and Peter Bossaerts (2012): "Learning to Choose the Right Investment in an Unstable World"
link
(In which the market is considered to be a restless bandit whose reward is discontinuous)
*Fama and MacBeth (1973): "Risk, Return, and Equilibrium: Empirical Tests"
pdf
Keller and Rady (1997): "Optimal Experimentation in a Changing Environment"
link
*Morten Sorensen (2008): "Learning by Investing: Evidence from Venture Capital"
pdf
Sornette (2014): "Physics and Financial Economics (1776-2014): Puzzles, Ising and Agent-Based models"
link
Wikipedia: "Monte Carlo methods for option pricing"
link
Wikipedia: "Stochastic Asset Model"
link
Peter M Krafft
Last modified: Tue May 6 13:45:05 EDT 2014