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Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model
He, Xue-zhong; Li, Kai - In: Journal of economic dynamics & control 36 (2012) 7, pp. 973-987
Persistent link: https://www.econbiz.de/10009573416
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Explaining dispersion in foreign exchange expectations : a heterogeneous agent approach
Ron, Jongen; Verschoor, Willem F. C.; Wolff, Christiaan … - In: Journal of economic dynamics & control 36 (2012) 5, pp. 719-735
Persistent link: https://www.econbiz.de/10009554305
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Behavioral heterogeneity in the stock market revisited : what factors drive investors as fundamentalists or chartists?
Li, Leon; Miu, Peter - In: The journal of behavioral finance : a publication of … 23 (2022) 1, pp. 73-91
Persistent link: https://www.econbiz.de/10012802016
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Limitations of stabilizing effects of fundamentalists : facing positive feedback traders
Baumann, Michael; Baumann, Michaela; Erler, Alexander - 2019
The authors analyze financial interactions between fundamentalists and chartists within a heterogeneous agent model …, focusing on the role of fundamentalists stabilizing prices. In contrast to related studies, which are based on simulations and … calculations, they analytically prove that the presence of fundamentalists is not sufficient to avoid asset price bubbles. The …
Persistent link: https://www.econbiz.de/10011963816
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Forecaster rationality and expectation formation in foreign exchange markets : do emerging countries differ from industrialized economies?
Frenkel, Michael; Ruelke, Jan-Christoph; Mauch, Matthias - In: International economic journal 33 (2019) 3, pp. 383-407
Persistent link: https://www.econbiz.de/10012201641
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Limitations of stabilizing effects of fundamentalists: facing positive feedback traders
Baumann, Michael; Baumann, Michaela; Erler, Alexander - 2019
The authors analyze financial interactions between chartists with bounded leverage and fundamentalists within a … heterogeneous agent model, focusing on the role of fundamentalists to stabilize prices. While many related studies are solely based … on simulations, the authors analytically prove that the existence of fundamentalists is insufficient to avoid asset price …
Persistent link: https://www.econbiz.de/10012118250
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"Performance and effects of linear feedback stock trading strategies"
Baumann, Michael - 2018
Persistent link: https://www.econbiz.de/10012153001
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Volume and volatility in the FX-market : does it matter who you are?
Bjønnes, Geir H.; Rime, Dagfinn; Solheim, Haakon - 2002
The relationship between volume and volatility has received much attention in the the literature of financial markets. However, due to the lack of data, few results have been presented for the foreign exchange market. Further, most studies contain only aggregate series, and can not distinguish...
Persistent link: https://www.econbiz.de/10011539127
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Are US-Dollar-Hedged-ETF investors aggressive on exchange rates? : a panel VAR approach
Shank, Corey A.; Vianna, Andre C. - In: Research in international business and finance 38 (2016), pp. 430-438
Persistent link: https://www.econbiz.de/10011640678
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Super-exponential endogenous bubbles in an equilibrium model of fundamentalist and chartist traders
Kaizoji, Taisei; Leiss, Matthias; Saičev, Aleksandr I.; … - In: Journal of economic behavior & organization : JEBO 112 (2015), pp. 289-310
Persistent link: https://www.econbiz.de/10011399387