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- W2039536973 abstract "We proposed an expectation model to explain the observed price movements with active trader's conditional expected return and trading strategies. Existing volatility models can be considered as a kind of price expectation with corresponding expectation model and disturbances distribution. These results questioned those intentions to reproduce stylized facts with artificial series, and call for a closer look at the trading rule and trader's price expectation implied in both agent-based models and econometric researches." @default.
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- W2039536973 date "2010-06-01" @default.
- W2039536973 modified "2023-09-24" @default.
- W2039536973 title "Price volatility model in terms of trader's conditional expected return" @default.
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- W2039536973 doi "https://doi.org/10.1109/icfte.2010.5499416" @default.
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