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The use of fundamentalist traders in the stock market models is problematic since fundamental values in the real world are unknown. Yet, in the literature to date, fundamentalists are often required to replicate key stylized facts. The authors present an agent-based model of the stock market in...
Persistent link: https://www.econbiz.de/10011723700
This paper analyses the explanatory power of the frequency of abnormal returns in the FOREX for the EURUSD, GBRUSD, USDJPY, EURJPY, GBPCHF, AUDUSD and USDCAD exchange rates over the period 1994-2019. Abnormal returns are detected using a dynamic trigger approach; then the following hypotheses...
Persistent link: https://www.econbiz.de/10012207961
profit opportunities in various financial markets. A t-test confirms the presence of overreactions and also suggests that … trading robot approach is then used to test two trading strategies aimed at exploiting the detected anomalies to make abnormal … profits. The results suggest that a strategy based on counter-movements after overreactions does not generate profits in the …
Persistent link: https://www.econbiz.de/10010435314
profit opportunities in various financial markets. A t-test confirms the presence of overreactions and also suggests that … trading robot approach is then used to test two trading strategies aimed at exploiting the detected anomalies to make abnormal … profits. The results suggest that a strategy based on counter-movements after overreactions does not generate profits in the …
Persistent link: https://www.econbiz.de/10010435765
This paper examines long-term price overreactions in various financial markets (commodities, US stock market and FOREX …). First, t-tests are carried out for overreactions as a statistical phenomenon. Second, a trading robot approach is applied to …-called 'inertia anomaly'. Both weekly and monthly data are used. Evidence of anomalies is found predominantly in the case of weekly …
Persistent link: https://www.econbiz.de/10010464626
This paper examines price overreactions in the case of the following cryptocurrencies: BitCoin, LiteCoin, Ripple and … test) tests confirm the presence of price patterns after overreactions: the next-day price changes in both directions are … bigger than after “normal” days. A trading robot approach is then used to establish whether these statistical anomalies can …
Persistent link: https://www.econbiz.de/10011794200
This paper examines price overreactions in the case of the following cryptocurrencies: BitCoin, LiteCoin, Ripple and … test) tests confirm the presence of price patterns after overreactions: the next-day price changes in both directions are … bigger than after "normal" days. A trading robot approach is then used to establish whether these statistical anomalies can …
Persistent link: https://www.econbiz.de/10011794922
profit opportunities in various financial markets. A t-test confirms the presence of overreactions and also suggests that … trading robot approach is then used to test two trading strategies aimed at exploiting the detected anomalies to make abnormal … profits. The results suggest that a strategy based on counter-movements after overreactions does not generate profits in the …
Persistent link: https://www.econbiz.de/10011267904
This paper examines long-term price overreactions in various financial markets (commodities, US stock market and FOREX …). First, t-tests are carried out for overreactions as a statistical phenomenon. Second, a trading robot approach is applied to …-called “inertia anomaly”. Both weekly and monthly data are used. Evidence of anomalies is found predominantly in the case of weekly …
Persistent link: https://www.econbiz.de/10011185761
profit opportunities in various financial markets. A t-test confirms the presence of overreactions and also suggests that … trading robot approach is then used to test two trading strategies aimed at exploiting the detected anomalies to make abnormal … profits. The results suggest that a strategy based on counter-movements after overreactions does not generate profits in the …
Persistent link: https://www.econbiz.de/10011075719