Levy, M., H. Levy, and S. Solomon, Microscopic Simulation of Financial Markets: From Investor Behavior to Market phenomena, Academic Press, 2000.
Levy, M., "Conditions for a CAPM Equilibrium with Positive Prices", Journal of Economic Theory, forthcoming.
Klass, O., Biham, O., Levy,
M., Malcai, O., and
Solomon, S., "The Forbes 400 and the Pareto Wealth Distribution", Economics Letters, 90, 2, 2006,
290-295.
Levy, M., G. Benita
and H. Levy, "Financial Disclosure and Regulation: A Portfolio
Approach", Journal of Portfolio
Management, Winter 2006.
Levy, M. "Stock Market Crashes as Phase Transitions",
Journal of Economic Dynamics and Control, forthcoming.
Levy, M., "Mutual Fund Ranking and the Investment
Horizon", Finance Letters,
forthcoming.
Klass, O., Biham, O., Levy,
M., Malcai, O., and
Solomon, S., "The Forbes 400, the Pareto Power Law, and Efficient
Markets", European Physical Journal B, forthcoming.
Levy, M., H. Levy and G. Benita, "Capital Asset
Prices with Heterogeneous Beliefs", Journal
of Business, 79, 2006, 1317-1353.
Levy, M., "Market Efficiency, the Pareto Wealth
Distribution, and the Lévy Distribution of Stock Returns", in The
Economy as an Evolving Complex System
III, S. Durlauf and L. Blume (Eds.),
Oxford University Press, 2005.
Levy, M., "Is Risk-Aversion Hereditary?", Journal
of Mathematical Economics, 41, 1, 2005, 157-168.
Levy, M., "Social Phase Transitions", Journal
of Economic Behavior and Organization, 57, 1, 2005, 71-87.
Levy H., and M. Levy, "Prospect Theory and
Mean-Variance Analysis", Review of Financial Studies, 17, 4,
2004, 1015-1041.
Levy, H., M. Levy and N. Alisof, "Homemade
Leverage: Theory versus Experimental Evidence", Journal of Portfolio
Management, 2004.
Levy, M., "Are Rich People Smarter?", Journal
of Economic Theory, 110, 1, 2003, 42-64.
Levy, M. and H. Levy, "Investment Talent and the Pareto
Wealth Distribution: Theoretical and experimental Analysis", Review of
Economics and Statistics, 85, 3, 2003, 709-725.
Levy, H., M. Levy and A. Edry, "A Negative
Equilibrium Interest Rate", Financial Analyst Journal, April
2003, 97-109.
Solomon, S. and M. Levy, "Pioneers on a New
Continent: Physics and Economics", Quantitative Finance, 3, 1,
2003, 12-16.
Levy, M. and H. Levy, "Prospect Theory: Much
Levy, H. and M. Levy, "Experimental Test of the
Prospect Theory Value Function", Organizational Behavior and Human Decision
Processes, 89, 2002, 1058-1081.
Levy, H. and M. Levy, "Arrow-Pratt Risk Aversion,
Risk Premium, and Decision Weights", Journal of Risk and Uncertainty,
25,3, 2002, 265-290.
Levy, M. and H. Levy, "Testing for Risk Aversion: A
Stochastic Dominance Approach", Economics Letters 71, 2, 2001,
233-240.
Biham, O., O. Malcai, M. Levy and S. Solomon,
"Generic Emergence of Power Law Distributions and Lévy-stable Intermittent
Fluctuations in Discrete Logistic Systems", Physical Review E 58,
1998, 1352-1358.
Levy, M., and S. Solomon, "New Evidence for the
Power-Law Distribution of Wealth", Physica
A, 242, 1997, 90-94.
Levy, M., and H. Levy, "The Danger of Assuming
Homogeneous Expectations", The
Financial Analyst Journal, May 1996, 65-70.
Levy, M., Persky, N., and S. Solomon, " The
Complex Dynamics of a Simple Stock Market Model", International Journal of High Speed
Computing, 8, 1996, 93-113.
Levy, M., and S. Solomon, "Dynamical Explanation
for the Emergence of Power Law in a Stock Market Model", International
Journal of Modern Physics C , 7, 1, 1996, 65-72.
Levy, M., and S. Solomon, "Power Laws are
Logarithmic Boltzmann Laws", International Journal of Modern Physics
C , 7, 4, 1996, 595-601.
Solomon, S. and M. Levy, "Spontaneous Scaling
Emergence in Generic Stochastic Systems", International Journal of
Modern Physics C , 7, 5, 1996, 745-751.
Levy, M., H. Levy and S.
Solomon, "Simulation of the Stock Market: The Effects of Microscopic
Diversity", Journal de
Physique I, 5, 1995, 1087-1107.
Levy, M., H. Levy and S.
Solomon, "A Microscopic Model of the Stock Market: Cycles, Booms, and
Crashes", Economics Letters,
45, 1994, 103-111.
