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Are momentum traders different? Implications for the momentum puzzle
Menkhoff, Lukas - 2010
This paper examines the puzzlingly high unexploited momentum returns from a new perspective. We analyze characteristics of momentum traders in a sample of 692 fund managers. We find that momentum traders are 'defined' by their short-term horizon, by a behavioural view on the market and by a...
Persistent link: https://www.econbiz.de/10010270394
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Global food price volatility and spikes: An overview of costs, causes, and solutions
von Braun, Joachim; Tadesse, Getaw - 2012
, volatility, and spikes. While price trends are important in the long term, volatility and spikes are more important in the short … to medium terms. Descriptive statistics indicate that all three price changes are increasing over time and show strong … volatility. An assessment of the costs of price volatility has shown that the existing literature follows a conventional marginal …
Persistent link: https://www.econbiz.de/10010323663
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Bubbles and Experience: An Experiment on Speculation
Dufwenberg, Martin; Lindqvist, Tobias; Moore, Evan - 2003
We investigate experimentally how the share of experienced traders in double-auction asset markets affects trading, in particular the occurrence of bubble-crash pricing patterns. In each session, six subjects trade in three successive market rounds and gain experience. In a fourth round,...
Persistent link: https://www.econbiz.de/10010320151
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Managerial overconfidence and corporate risk management
Adam, Tim R.; Fernando, Chitru S.; Golubeva, Evgenia - 2012
We show that managerial overconfidence, which has been found to influence a number of corporate financial decisions, also affects corporate risk management. We find that managers increase their speculative activities using derivatives following speculative gains, while they do not reduce their...
Persistent link: https://www.econbiz.de/10010281528
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Assessing the impact of algorithmic trading on markets: A simulation approach
Gsell, Markus - 2008
impact of such concepts, e.g. effects on the price formation or the volatility of prices, a simulation environment is … market prices. On the other hand, lower latency appears to lower market volatility. …
Persistent link: https://www.econbiz.de/10010303731
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News reaction in financial markets within a behavioral finance model with heterogeneous agents
Fischer, Thomas - 2011
, noise in financial markets can lead to long time decoupling from fundamental value. Higher market efficiency (low deviations …
Persistent link: https://www.econbiz.de/10010323743
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Artificial Long Memory Effects in Two Agend-Based Asset Pricing Models
Franke, Reiner - 2008
This note is concerned with two recent agent-based models of speculative dynamics from the literature, one by Gaunersdorfer and Hommes and the other by He and Li. At short as well as long lags, both of them display an autocorrelation structure in absolute and squared returns that comes...
Persistent link: https://www.econbiz.de/10010296307
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Nonlinear ACD model and informed trading: Evidence from Shanghai Stock Exchange
Wong, Woon K.; Tan, Dijun; Tian, Yixiang - 2008
Dufour and Engle (J. Finance (2000) 2467) find evidence of an increased presence of informed traders when the NYSE markets are most active. No such evidence, however, can be found by Manganelli (J. Financial Markets (2005) 377) for the infrequently traded stocks. In this paper, we fit a...
Persistent link: https://www.econbiz.de/10010288824
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Algorithmic trading engines versus human traders: Do they behave different in securities markets?
Gomber, Peter; Gsell, Markus - 2009
models applying historical and real-time market data. Although there is a widespread discussion on the pros and cons of … Algorithmic Trading and on its impact on market volatility and market quality, little is known on how algorithms actually place … that for the first time includes a specific flag to enable the identification of orders submitted by Algorithmic Trading …
Persistent link: https://www.econbiz.de/10010303683
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Bias-free nonparametric estimation of intra-day trade activity measures
Grammig, Joachim; Hujer, Reinhard; Kokot, Stefan - 2000
Persistent link: https://www.econbiz.de/10010316265