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Bubbles in hybrid markets : how expectations about algorithmic trading affect human trading
Farjam, Mike; Kirchkamp, Oliver - 2015
Bubbles are omnipresent in lab experiments with asset markets. Most of these experiments were conducted in environments with only human traders. Today markets are substantially determined by algorithmic traders. Here we use a laboratory experiment to measure changes of human trading behavior if...
Persistent link: https://www.econbiz.de/10011392621
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The impact of FX central bank intervention in a noise trading framework
Beine, Michel (contributor); De Grauwe, Paul (contributor);  … - 2005
In this paper we investigate the effects of central bank interventions (CBI) in a noise trading model with chartists and fundamentalists. We first estimate a model in which chartists extrapolate past returns and fundamentalists forecast a mean reverting dynamics of the exchange rate towards a...
Persistent link: https://www.econbiz.de/10003113337
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Revealing downturns
Schmalz, Martin C.; Zhuk, Sergey - 2018
prices react more to news in downturns than in upturns, implying higher volatility in downturns and negatively skewed returns …
Persistent link: https://www.econbiz.de/10011794118
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Exchange rates dynamics in a target zone : a heterogeneous expectations approach
Bauer, Christian (contributor); De Grauwe, Paul (contributor) - 2007
Persistent link: https://www.econbiz.de/10003598631
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Limit-Order Submission Strategies under Asymmetric Information
Menkhoff, Lukas; Osler, Carol; Schmeling, Maik - 2010
limit-order market. In the market we study, informed traders are highly sensitive to spreads, volatility, momentum and depth …
Persistent link: https://www.econbiz.de/10003969203
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Bubbles and crashes in a behavioural finance model
De Grauwe, Paul; Grimaldi, Marianna - 2004
We develop a simple model of the exchange rate in which agents optimize their portfolio and use different forecasting rules. They check the profitability of these rules ex post and select the more profitable one. This model produces two kinds of equilibria, a fundamental and a bubble one. In a...
Persistent link: https://www.econbiz.de/10011401333
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Modeling optimism and pessimism in the foreign exchange market
De Grauwe, Paul (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003496811
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Monetary policy, model uncertainty and exchange rate volatility
Markiewicz, Agnieszka - 2010
This paper proposes an explanation of the shifts in the volatility of exchange rate returns that relies on standard … may lead agents to focus excessively on a subset of fundamental variables. As a result, exchange rate volatility is mainly … determined by the dynamics of this subset of fundamentals. As agents switch between models the nominal exchange rate volatility …
Persistent link: https://www.econbiz.de/10003937806
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Learning, structural instability and present value calculations
Pesaran, M. Hashem (contributor);  … - 2006
Present value calculations require predictions of cash flows both at near and distant future points in time. Such …
Persistent link: https://www.econbiz.de/10003300967
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Intraday anomalies and market efficiency : a trading robot analysis
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2014
profits. This paper examines whether or not anomalies such as intraday or time of the day effects give rise to exploitable …
Persistent link: https://www.econbiz.de/10010344868