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Why a simple herding model may generate the stylized facts of daily returns : explanation and estimation
Franke, Reiner; Westerhoff, Frank H. - 2011
The paper proposes an elementary agent-based asset pricing model that, invoking the two trader types of fundamentalists and chartists, comprises four features: (i) price determination by excess demand; (ii) a herding mechanism that gives rise to a macroscopic adjustment equation for the market...
Persistent link: https://www.econbiz.de/10009424773
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Why a simple herding model may generate the stylized facts of daily returns : explanation and estimation
Franke, Reiner; Westerhoff, Frank H. - In: Journal of economic interaction and coordination : JEIC 11 (2016) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10011486128
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Statistical properties of absolute log-returns and a stochastic model of stock markets with heterogeneous agents
Kaizoji, Taisei - In: Nonlinear dynamics and heterogeneous interacting agents …, (pp. 237-248). 2005
Persistent link: https://www.econbiz.de/10002775656
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Dynamic predictor selection and order splitting in a limit order market
Yamamoto, Ryuichi - In: Macroeconomic dynamics 23 (2019) 5, pp. 1757-1792
Persistent link: https://www.econbiz.de/10012127237
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Who's smart and who's lucky? : inferring trading strategy, learning and adaptation in financial markets through data mining
Stephens, Christopher R.; Gordillo, José Luis; … - In: Natural computing in computational finance : volume 2 ; …, (pp. 95-114). 2009
Persistent link: https://www.econbiz.de/10009515157
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How do the differences among order distributions affect the rate of investment returns and the contract rate
Yamamoto, Shingo; Wada, Shihomi; Kawagoe, Toshiji - In: Artificial economics : agent-based methods in finance, …, (pp. 227-237). 2006
Persistent link: https://www.econbiz.de/10003174425
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Genetic algorithm-based portfolio optimization with higher moments in global stock markets
Kshatriya, Saranya; Prasanna, Krishna - In: Journal of risk 20 (2017/2018) 4, pp. 1-26
Persistent link: https://www.econbiz.de/10011848918
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New evidence about the profitability of small and large stocks and the role of volume obtained using Strongly Typed Genetic Programming
Manahov, Viktor; Hudson, Robert; Linsley, Philip - In: Journal of international financial markets, … 33 (2014), pp. 299-316
Persistent link: https://www.econbiz.de/10011299824
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Nonlinear ensemble models to predict oil reserves and stock market returns in the presence of inherent uncertainty
Fiévet, Lucas - 2017
Persistent link: https://www.econbiz.de/10011858142
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Using neural networks to enhance technical trading rule returns : a case with KLCI
Jacinta Chan Phooi M'ng; Azmin Azliza Aziz - In: Athens journal of business & economics : AJBE 2 (2016) 1, pp. 63-70
Persistent link: https://www.econbiz.de/10011565193