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Prices, debt and market structure in an agent-based model of the financial market
Fischer, Thomas; Riedler, Jesper - In: Journal of Economic Dynamics and Control 48 (2014) C, pp. 95-120
higher levels of leverage lead to a greater inequality among agents. Furthermore, greater leverage increases the frequency of … key difference in the relation between leverage and assets observed for different bank types. Lowering credit frictions … leads to an increasingly procyclical behavior of leverage, which is typical for investment banks. Nevertheless, the impact …
Persistent link: https://www.econbiz.de/10011077522
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Prices, debt and market structure in an agent-based model of the financial market
Fischer, Thomas; Riedler, Jesper - In: Journal of economic dynamics & control 48 (2014), pp. 95-120
Persistent link: https://www.econbiz.de/10010485828
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Heterogeneity, spontaneous coordination and extreme events within large-scale and small-scale agent-based financial market models
Schmitt, Noemi; Westerhoff, Frank H. - 2016
We propose a novel agent-based financial market framework in which speculators usually follow their own individual technical and fundamental trading rules to determine their orders. However, there are also sunspot-initiated periods in which their trading behavior is correlated. We are able to...
Persistent link: https://www.econbiz.de/10011514740
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Heterogeneous expectations and asset price dynamics
Schmitt, Noemi - 2018
Within the seminal asset-pricing model by Brock and Hommes (1998), heterogeneous boundedly rational agents choose between a fixed number of expectation rules to forecast asset prices. However, agents' heterogeneity is limited in the sense that they typically switch between a representative...
Persistent link: https://www.econbiz.de/10011787392
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Agent-based models for economic policy design: Two illustrative examples
Westerhoff, Frank; Franke, Reiner - 2012
With the help of two examples, we illustrate the usefulness of agent-based models as a tool for economic policy design. In our first example, we apply a financial market model in which the order flow of speculators, relying on technical and fundamental analysis, generates intricate price...
Persistent link: https://www.econbiz.de/10010310710
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Trend followers, contrarians and fundamentalists : explaining the dynamics of financial markets
Schmitt, Noemi; Westerhoff, Frank H. - 2019
We propose an empirically motivated financial market model in which speculators rely on trend-following, contrarian and fundamental trading rules to determine their orders. Speculators' probabilistic rule-selection behavior - the only type of randomness in our model - depends on past and future...
Persistent link: https://www.econbiz.de/10012014573
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Agent-based models for economic policy design: Two illustrative examples
Westerhoff, Frank; Franke, Reiner - Bamberg Economic Research Group on Government and … - 2012
With the help of two examples, we illustrate the usefulness of agent-based models as a tool for economic policy design. In our first example, we apply a financial market model in which the order flow of speculators, relying on technical and fundamental analysis, generates intricate price...
Persistent link: https://www.econbiz.de/10010954955
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Insider Trading, Micro Diversity and the Long-Run Macro Efficiency
Antonov, Mikhail; Trofimov, Georgi - 1992
Persistent link: https://www.econbiz.de/10010335087
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The impact of government debt supply on bond market liquidity: An empirical analysis of the Canadian market
Gao, Jeffrey; Jin, Jianjian; Thompson, Jacob - 2018
This paper finds that Government of Canada benchmark bonds tend to be more illiquid over the subsequent month when there is a large increase in government debt supply. The result is both statistically and economically significant, stronger for the long-term than the short-term sector, and is...
Persistent link: https://www.econbiz.de/10012014490
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Effectiveness of corporate finance valuation methods: Piotroski score in an Ohlson model: the case of Mexico
Durán-Vázquez, Rocío; Lorenzo-Valdés, Arturo; … - In: Journal of Economics, Finance and Administrative Science 19 (2014) 37, pp. 104-107
This study applied the Piotroski score for 63 selected companies of Mexico, for the period 2005 to 2011. The Piotroski score provides an evaluation on the historical financial performance of a company, with the evaluation of nine financial analysis ratios or criteria. We decided to add this...
Persistent link: https://www.econbiz.de/10011859367