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Market structure and instability artifacts in heterogeneous agent models : lessons from implicit discretizations of stiff equations
Baumann, Michael; Baumann, Michaela; Grüne, Lars; … - In: Computational economics 62 (2023) 3, pp. 855-890
Persistent link: https://www.econbiz.de/10014382842
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"Performance and effects of linear feedback stock trading strategies"
Baumann, Michael - 2018
Persistent link: https://www.econbiz.de/10012153001
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Limitations of stabilizing effects of fundamentalists: Facing positive feedback traders
Baumann, Michael Heinrich; Baumann, Michaela; Erler, … - In: Economics: The Open-Access, Open-Assessment E-Journal 13 (2019) 2019-44, pp. 1-26
The authors analyze financial interactions between chartists with bounded leverage and fundamentalists within a … heterogeneous agent model, focusing on the role of fundamentalists to stabilize prices. While many related studies are solely based … on simulations, the authors analytically prove that the existence of fundamentalists is insufficient to avoid asset price …
Persistent link: https://www.econbiz.de/10012118617
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Limitations of stabilizing effects of fundamentalists: Facing positive feedback traders
Baumann, Michael Heinrich; Baumann, Michaela; Erler, … - 2019
The authors analyze financial interactions between fundamentalists and chartists within a heterogeneous agent model …, focusing on the role of fundamentalists stabilizing prices. In contrast to related studies, which are based on simulations and … calculations, they analytically prove that the presence of fundamentalists is not sufficient to avoid asset price bubbles. The …
Persistent link: https://www.econbiz.de/10011964237
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Behavioral heterogeneity in the stock market revisited : what factors drive investors as fundamentalists or chartists?
Li, Leon; Miu, Peter - In: The journal of behavioral finance : a publication of … 23 (2022) 1, pp. 73-91
Persistent link: https://www.econbiz.de/10012802016
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Limitations of stabilizing effects of fundamentalists : facing positive feedback traders
Baumann, Michael; Baumann, Michaela; Erler, Alexander - 2019
The authors analyze financial interactions between fundamentalists and chartists within a heterogeneous agent model …, focusing on the role of fundamentalists stabilizing prices. In contrast to related studies, which are based on simulations and … calculations, they analytically prove that the presence of fundamentalists is not sufficient to avoid asset price bubbles. The …
Persistent link: https://www.econbiz.de/10011963816
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Limitations of stabilizing effects of fundamentalists: facing positive feedback traders
Baumann, Michael; Baumann, Michaela; Erler, Alexander - 2019
The authors analyze financial interactions between chartists with bounded leverage and fundamentalists within a … heterogeneous agent model, focusing on the role of fundamentalists to stabilize prices. While many related studies are solely based … on simulations, the authors analytically prove that the existence of fundamentalists is insufficient to avoid asset price …
Persistent link: https://www.econbiz.de/10012118250
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Behavioral Heterogeneity in the Option Market
Lehnert, Thorsten; Frijns, Bart; Zwinkels, Remco - Luxembourg School of Finance, Faculté de droit, … - 2009
: fundamentalists and chartists, who are able to switch between groups according to a multinomial logit switching rule. The model …
Persistent link: https://www.econbiz.de/10008474096
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Making Money out of Publicly Available Information
Morrison, Alan; Vulkan, Nir - Department of Economics, Oxford University - 2003
It is received financial wisdom that when there is free entry by speculators, it is impossible to generate net profits on publicly available information. In this paper we study a version of the standard Kyle (85) model with endogenous information acquisition and we find that equilibria exist...
Persistent link: https://www.econbiz.de/10010661389
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Making Money out of Publicly Available Information
Morrison, Alan; Vulkan, Nir - Finance Research Centre, Oxford University - 2003
It is received financial wisdom that when there is free entry by speculators, it is impossible to generate net profits on publicly available information. In this paper we study a version of the standard Kyle (85) model with endogenous information acquisition and we find that equilibria exist...
Persistent link: https://www.econbiz.de/10005509821