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Financial markets as nonlinear adaptive evolutionary systems
Hommes, Cars H. - 2001
. The evolutionarymodel explains stylized facts, such as fat tails,volatility clustering and long memory, of real financial …
Persistent link: https://www.econbiz.de/10011313923
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Financial markets as nonlinear adaptive evolutionary systems
Hommes, Cars H. - 2000
Persistent link: https://www.econbiz.de/10001554477
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Simple market timing with moving averages
Ilomäki, Jukka; Laurila, Hannu; McAleer, Michael - 2018
average daily returns, even though the volatility is virtually unchanged when the frequency is lower. The volatility from the … highest to the lowest frequency is about 30% lower as compared with the buy-and-hold strategy volatility, but the average … returns approach the buy-and-hold returns when frequency is lower. The 30% reduction in volatility appears if we invest …
Persistent link: https://www.econbiz.de/10011848115
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The forward premium puzzle only emerges gradually
Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2007
The forward premium puzzle (FPP) is the negative correlation between the forward premium and the realized exchange rate return at maturities of a month and beyond. Some recent evidence shows that at maturities of multiple years and at the highest intra day frequency the correlation is positive...
Persistent link: https://www.econbiz.de/10011372514
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Bubble formation and (in)efficient markets in learning-to-forecast and -optimise experiments
Te, Bao; Hommes, Cars H.; Makarewicz, Tomasz - 2015
This experiment compares the price dynamics and bubble formation in an asset market with a price adjustment rule in three treatments where subjects (1) submit a price forecast only, (2) choose quantity to buy/sell and (3) perform both tasks. We find deviation of the market price from the...
Persistent link: https://www.econbiz.de/10011333057
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Simultaneous search and network efficiency
Gautier, Pieter; Holzner, Christian - 2011
Persistent link: https://www.econbiz.de/10009720781
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Exclusive portfolio dealing and market inefficiency
Kessler, Natalie; Lelyveld, Iman van; Woerd, Ellen van der - 2024
We rationalize exclusive portfolio dealing in a novel three-period partial equilibrium framework populated by a representative, risk-neutral seller and a small number of ex ante identical broker-dealers. Endowed with independent, uncertain demand for a representative asset, the broker-dealers...
Persistent link: https://www.econbiz.de/10014496480
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Are market makers uninformed and passive? Signing trades in the absence of quotes
Wel, Michel van der; Menkveld, Albert J.; Sarkar, Asani - 2009
Persistent link: https://www.econbiz.de/10003851141
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Are market makers uninformed and passive? : signing trades in the absence of quotes
Wel, Michel van der; Menkveld, Albert J.; Sarkar, Asani - 2009
the role of the market maker. Most theory characterizes him as an uninformed passive liquidity supplier. Our results …
Persistent link: https://www.econbiz.de/10011378307
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Splitting orders in fragmented markets
Menkveld, Albert J. - 2001
A number of recent theoretical studies have explored trading in fragmented markets, e.g. Biais etal. (2000), a phenomenon increasingly witnessed in modern markets. The key assumptiongenerating the results is that there is at least one liquidity demander exploiting access to allmarkets by...
Persistent link: https://www.econbiz.de/10011317469