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Patience is a virtue - in value investing

Hens, Thorsten; Schenk-Hoppé, Klaus Reiner - 2018

This note illustrates a simple but important insight for financial investment. In a heterogeneous agent-based evolutionary finance market model with long-lived assets, markets are stable if clients of fundamental ('value') investment funds are more patient than clients of other funds

Persistent link: https://www.econbiz.de/10011899600

Prices, debt and market structure in an agent-based model of the financial market

Fischer, Thomas; Riedler, Jesper - 2012

emerges and that higher levels of leverage lead to a greater inequality among agents. When further analyzing the relationship … between leverage and balance sheets, we observe that decreasing credit frictions result in an increasingly procyclical … behavior of leverage, which is typical for investment banks. We show how decreasing credit frictions increase volatility but …

Persistent link: https://www.econbiz.de/10009565743

Using sentiment to predict GDP growth and stock returns

Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2008

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

Persistent link: https://www.econbiz.de/10009647230

Using sentiment surveys to predict GDP growth and stock returns

Guzman, Giselle C. - Volkswirtschaftliche Fakultät, … - 2008

Persistent link: https://www.econbiz.de/10009647399

Contrarian Behavior, Information Networks and Heterogeneous Expectations in an Asset Pricing Market

Makarewicz, Tomasz - 2016

The paper studies the emergence of contrarian behavior in information networks in an asset pricing market. Financial traders coordinate on similar behavior, but have heterogeneous price expectations and are influenced by friends. According to a popular belief, they are prone to herding. However,...

Persistent link: https://www.econbiz.de/10012995192

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/10012023996

Seven Pitfalls of Technical Analysis

Caporale, Guglielmo Maria; Plastun, Alex - 2023

This paper examines the main drawbacks of technical analysis. Although this is widely used by practitioners, from an academic perspective it can only be seen as a form of "voodoo finance". In particular, it runs into the following pitfalls: Subjectivity; Doubtful assumptions; Unjustified...

Persistent link: https://www.econbiz.de/10014290123

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/10011791484

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

Heterogeneity, spontaneous coordination and extreme events within large-scale and small-scale agent-based financial market models

Schmitt, Noemi; Westerhoff, Frank - 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/10011516579