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Heterogeneous speculators and stock market dynamics : a simple agent-based computational model
Schmitt, Noemi; Schwartz, Ivonne; Westerhoff, Frank H. - 2020
We propose a simple agent-based computational model in which speculators' trading behavior may cause bubbles and crashes, excess volatility, serially uncorrelated returns, fat-tailed return distributions and volatility clustering, thereby replicating five important stylized facts of stock...
Persistent link: https://www.econbiz.de/10012257370
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Stochastic behavioral asset pricing models and the stylized facts
Lux, Thomas - 2008
High-frequency financial data are characterized by a set of ubiquitous statistical properties that prevail with surprising uniformity. While these 'stylized facts' have been well-known for decades, attempts at their behavioral explanation have remained scarce. However, recently a new branch of...
Persistent link: https://www.econbiz.de/10010273169
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Patterns of speculation : a study in observational econophysics
Roehner, Bertrand M. - 2002 - 1. publ.
Persistent link: https://www.econbiz.de/10001632826
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Patterns of speculation : a study in observational econophysics
Roehner, Bertrand M. - 2002 - 1. publ.
Cover -- Half-title -- Title -- Copyright -- Contents -- Preface -- Part I Econophysics -- 1 Why econophysics? -- 1 … comparative analysis -- 2 The beginnings of econophysics -- 1 Pre-econophysics -- 1.1 Pre-econophysicists -- 1.1.1 Quételet (1796 ….2 Assessment of pre-econophysics -- 2 Institutional econophysics -- 2.1 Idiosyncrasies of economic journals -- 2.2 The beginnings …
Persistent link: https://www.econbiz.de/10012681273
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On the (Ab)Use of Omega?
Maillet, Bertrand; Costola, Michele; Caporin, Massimiliano - Dipartimento di Economia, Università Ca' Foscari Venezia - 2015
Several recent finance articles employ the Omega measure, proposed by Keating and Shadwick (2002) - defined as a ratio of potential gains out of possible losses - for gauging the performance of funds or active strategies (e.g. Eling and Schuhmacher, 2007; Farinelli and Tibiletti, 2008; Annaert et al., 2009;...
Persistent link: https://www.econbiz.de/10011200015
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Predictable markets? A news-driven model of the stock market
Gusev, Maxim; Kroujiline, Dimitri; Govorkov, Boris; … - Volkswirtschaftliche Fakultät, … - 2014
We attempt to explain stock market dynamics in terms of the interaction among three variables: market price, investor opinion and information flow. We propose a framework for such interaction and apply it to build a model of stock market dynamics which we study both empirically and...
Persistent link: https://www.econbiz.de/10011108097
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The trend is not your friend! Why empirical timing success is determined by the underlying's price characteristics and market efficiency is irrelevant
Scholz, Peter; Walther, Ursula - Frankfurt School of Finance and Management - 2011
The often reported empirical success of trend-following technical timing strategies remains to be puzzling. In previous academic research, many authors admit some prediction power but struggle to substantiate their findings by referring vaguely to insufficient market effciency or unknown hidden...
Persistent link: https://www.econbiz.de/10009493250
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The trend is not your friend! Why empirical timing success is determined by the underlying's price characteristics and market efficiency is irrelevant
Scholz, Peter; Walther, Ursula - 2011
The often reported empirical success of trend-following technical timing strategies remains to be puzzling. In previous academic research, many authors admit some prediction power but struggle to substantiate their findings by referring vaguely to insufficient market effciency or unknown hidden...
Persistent link: https://www.econbiz.de/10010308129
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Are green bonds different from ordinary bonds? A statistical and quantitative point of view
Ma, Cong; Schoutens, Wim; Beirlant, Jan; De Spiegeleer, Jan - 2020
A green bond is a type of fixed-income security that raises money to invest in predetermined climate and environmental projects, in contrast to conventional debt instruments, where the use of proceeds is not specified in the terms. The difference in yield between a green bond and an otherwise...
Persistent link: https://www.econbiz.de/10012606468
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Predictable return distributions
Pedersen, Thomas Q. - School of Economics and Management, University of Aarhus - 2010
This paper provides detailed insights into predictability of the entire stock and bond return distribution through the use of quantile regression. This allows us to examine speci?c parts of the return distribution such as the tails or the center, and for a suf?ciently ?ne grid of quantiles we...
Persistent link: https://www.econbiz.de/10008462025