Verschoor, Willem F.C.; Zwinkels, Remco C.J. - In: Quantitative Finance 13 (2013) 7, pp. 1125-1134
This paper estimates an Heterogeneous Agent Model (HAM) on currency trader indices to explain the large shifts in profitability in currency styles surrounding the global financial crisis. In the model, fund managers allocate capital conditional on recent performance to a value strategy, a...