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How do traders process and learn from market information, what trading strategies should they use, and how does learning affect the market? This paper proposes a learning model of an articial limit order market with asymmetric information to address these issues. Using a genetic algorithm as a...
Persistent link: https://www.econbiz.de/10010883499
supply liquidity. More interestingly, due to the learning and short-lived information, the bid-ask spread and its volatility …
Persistent link: https://www.econbiz.de/10010754098
phenomena such as bubbles and crashes and replicate stylized facts including volatility clustering, and long range dependence in … volatility. …
Persistent link: https://www.econbiz.de/10009357757
of market timing skill. These conclusions are unchanged when we allow for time-varying beta, volatility clustering and …
Persistent link: https://www.econbiz.de/10008670390
significantly improved by combining with market fundamentals and timing opportunity with respect to market trend and volatility … outperformance of the optimal strategy is immune to market states, investor sentiment and market volatility. …
Persistent link: https://www.econbiz.de/10011123928
Little empirical work has been done on the return properties of infrastructure as an asset class despite increased allocations by institutional investors. Managers claim infrastructure investments offer real return benefits via a combination of monopolistic and defensive assets. We build a...
Persistent link: https://www.econbiz.de/10009493155
Numerous empirical studies dating back to Ball and Brown (1968) have investigated how markets react to the receipt of new information. However, it is only recently that authors have focussed on differentiating between, and learning from, how investors react to good and bad news. In this paper we...
Persistent link: https://www.econbiz.de/10009493157
The post-earnings announcement drift (PEAD) was first identified over 40 years ago and seems to be as much alive today as it ever was. There have been numerous attempts to explain its continued existence. In this paper we provide evidence to support a new explanation: the PEAD is very much a...
Persistent link: https://www.econbiz.de/10009493158
of fees. We confirm this result using a factor model that allows for leverage, illiquidity and volatility clustering. The …
Persistent link: https://www.econbiz.de/10009493159
Heterogeneity and interacting among boundedly rational agents have received an increasing attention in the finance and economics literature. Recent developments on the role of heterogeneous beliefs on asset pricing and the adaptive behaviour of financial markets shed light into the complex...
Persistent link: https://www.econbiz.de/10010643373