| Reference: | 中文部分：
[1] 呂奇傑、李天行與劉柏君 (2006)，「應用小波轉換與倒傳遞類神經網路於股價指數之預測」，第四屆跨領域管理學術與實務研討會：東海大學。
[2] 鄧肯．華茲著，傅士哲與謝良瑜譯 (2004)，《六個人的小世界》，大塊文化。
[3] 謝宜良 (2006)，「以小波轉換為基礎之風險值估計」，銘傳大學財務金融所碩士論文。
英文部分：
[1] Antoniou, A. and Ergul, N. (1997), “Market Efficiency, Thin Trading and Non-linear Behaviour: Evidence from an Emerging Market,” European Financial Management, Vol. 3, 175-190.
[2] Barabasi, A. -L. (2005), “The Origin of Bursts and Heavy Tails in Human Dynamics,” Nature, Vol. 435, 207-211.
[3] Berg, J., Forsythe, R., Nelson, F., and Rietz, T. (2000), “Results from a Dozen Year of Election Futures Markets Research,” Technical Report, University of Iowa.
[4] Berg, J., Forsythe, R., and Rietz, T. (1997), “What Makes Markets Predict Well? Evidence from the Iowa Electronic Markets,” Understanding Strategic Interaction: Essays in Honor of Reinhard Selten, Springer, New York, .444-463.
[5] Berg, J., Nelson, F., and Rietz, T. (2003), “Accuracy and Forecast Standard Error of Prediction Markets,” working draft.
[6] Bossaerts, P., and Plott, C. (2002), “The CAPM in Thin Experimental Financial Markets,” Journal of Economic Dynamics and Control, Vol. 26, 1093-1112.
[7] Bouchaud, J.-P. (2001), “Power-laws in Economy and Finance: Some Ideas from Physics,” Quantitative Finance, Vol. 1, 105–112.
[8] Chen, K.-Y., and Plott, C. R. (2002), “Information Aggregation Mechanisms: Concept, Design and Implementation for a Sales Forecasting Problem,” working paper.
[9] Chen, S.-H., and Yeh, C.-H. (2002), “On the Emergent Properties of Artificial Stock Markets: the Efficient Market Hypothesis and the Rational Expectations Hypothesis,” Journal of Economic Behavior and Organization, Vol. 49, 217-239.
[10] Dimson, E., and Mussavian, M. (1998), “a Brief History of Market Efficiency,” European Financial Management, Vol. 4, 91-103.
[11] Engle, R. F., and Russell, J. R. (1998), “Autoregressive Conditional Duration: a New Model for Irregularly Spaced Transaction Data,” Econometrica, Vol. 66, 1127-1162.
[12] Fama, E. F. (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work,” The Journal of Finance, Vol. 25, 383-417.
[13] Forsythe, R., Nelson, F., Neumann, G. R., and Wright, J. (1992), “Anatomy of an Experimental Political Stock Market,” The American Economic Review, Vol. 82, 1142-1161.
[14] Forsythe, R., Rietz, T. A., and Ross, T. W. (1999), “Whishes, Espectations and Actions: A Survey on Price Formation in Election Stock Markets,” Journal of Economic Behavior and organization, Vol. 39, 83-110.
[15] Fung, J. K. W., Mok, H. M. K., and Wong, K. C. K. (2004), “Pricing Efficiency in a Thin Market with Competitive Market Makers: Box Spread Strategies in the Hang Seng Index Options Market,” The Financial Review, Vol. 39, 435-454.
[16] Gabaix, X., Gopikrishnan, P., Plerou, V., and Stanley, H. E. (2003), “A Theory of Power-law Distributions in Financial Market Fluctuations,” Nature, Vol. 423, 267-270.
[17] Gencay, R., Selcuk, F., and Whitcher, B. (2002), An Introduction to Wavelets and other Filtering Methods in Finance and Economics, Academic Press.
[18] Gontis, V., (2002), “Multiplicative Stochastic Model of the Time Interval between Trades in Financial Markets,” Nonlinear Analysis: Modelling and Control, Vol. 7, 43-54.
[19] Hanson, R. (2003), “Combinatorial Information Market Design,” Information System Frontiers, Vol. 5, 107-119.
[20] Hanson, R., and Opera, R. (2007), “Manipulators Increase Information Market Accuracy,” Review of Economics and Statistics, under review.
[21] Hanson, R., Oprea, R., and Porter, D. (2006), “Information aggregation and Manipulation in an Experimental Market,” Journal of Economic Behavior and Organization, Vol. 60, 449-459.
[22] Hayek, F. A. (1945), “The Use of Knowledge in Society,” American Economic Review, Vol.35, 519-530.
[23] Hidalgo R., C. A. (2006), “Conditions for the Emergence of Scaling in the Inter-event Time of Uncorrelated and Seasonal Systems,” Physica A, Vol. 369, 877-883.
[24] Huber, J., and Hauser, F. (2005), “Systematic Mispricing in Experimental Markets – Evidence from Political Stock Markets,” Proceedings of International Conference on Finance, Kopenhagen, Denmark (2005), 2-4 September.
[25] LeBaron, B., Arthur, W. B., and Palmer, R. (1999), “Time Series Properties of an Artificial Stock Market,” Journal of Economic Dynamics and Control, 23, 1487-1516.
[26] Manski, C. F. (2005), “Interpreting the Predictions of Prediction Markets,” Economic Letters forthcoming.
[27] Mantegna, R. N., and Stanley, H. E. (2000), An Introduction to Econophysics, Cambridge University Press.
[28] Miller, M. H., Muthuswamy, J., and Whaley, R. E. (1994), “Mean Reversion of Standard and Poor’s 500 Index Basis Changes: Arbitrage-induced or Statistical Illusion?” The Journal of Finance, Vol. 49, 479-513.
[29] Muth, J. F. (1961), “Rational Expectations and The Theory of Price Movements,” Econometrica, Vol. 29, 315-335.
[30] Nelson, R. G., and Turner S. C. (1995), “Experimental Examination of a Thin Market: Price Behavior in a Declining Terminal Market Revisited,” Journal of Agricultural and Applied Economics, Vol. 27, 149-160.
[30] Newman, M. E. J. (2005), “Power law, Pareto distributions and Zipf’s law,” Contemporary Physics, Vol. 46, 323-351.
[31] Pagon, A. (2005), “Polls and Markets in the 2004 Presidential Election: A Risk Premium to Explain Deviations between Polling Predictions and Market Prices,” Stanford University Department of Economics Honor Theses 2005.
[32] Plott, C. R. (2000), “Markets as Information Gathering Tools,” Southern Economic Journal, Vol. 67, 1-15.
[33] Servan-Schreiber, E., Wolfers, J., Pennock, D. M., and Galebach, B. (2004), “Prediction Market: Does Money Matter?” Electronic Markets, Vol. 14, 243-251.
[34] Silber, W. L. (1975), “Thinness in Capital Markets: the Case of the Tel Aviv Stock Exchange,” Journal of Financial and Quantitative Analysis, Vol. 10, 129-142.
[35] Vazquez, A., Oliveira, J. G., Dezso, Z., Goh, K.-I., Kondor, I., and Barabasi, A.-L. (2006), “Modeling Bursts and Heavy Tails in Human Dynamics,” Physical Review E, Vol. 73, 036127.
[36] Wang, S.-C., Li, S.-P., Tai, C.-C., Chen, S.-H. (2006), “Statistical Properties of an Experimental Political Futures Market,” Quantitative Finance forthcoming.
[37] Wang, S.-C., Liu, K.-P., Yu, C.-Y., and Li, S.-P. (2004), “A Web-based Political Exchange for Election Outcome Predictions,” IEEE/WIC/ACM International Conference on Web Intelligence (WI`04), 173-178.
[38] Wang, S.-C., Tseng, J.-J., Li, S.-P., Chen, S.-H. (2006), “Prediction of Bird Flu (H5N1) Outbreaks in Taiwan by Online Auction: Experimental Result,” New Mathematics and Natural Computation, Vol. 2, 271-279.
[39] Wolfers, J., and Zitzewitz, E. (2004), “Prediction Markets,” The Journal of Economic Perspectives, 18, 2, 107-126.
[40] Wolfers, J., and Zitzewitz, E. (2006), “Prediction Markets in Theory and Practice,” NBER working paper.
[41] Wolfers, J., and Zitzewitz, E. (2006), “Five Open Questions about Prediction Markets,” NBER working paper. |
