Heterogeneous traders, price-volume signals, and complex asset price dynamics (Q2570011): Difference between revisions
From MaRDI portal
Removed claim: author (P16): Item:Q220877 |
Changed an Item |
||
Property / author | |||
Property / author: Frank H. Westerhoff / rank | |||
Normal rank |
Revision as of 04:43, 11 February 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Heterogeneous traders, price-volume signals, and complex asset price dynamics |
scientific article |
Statements
Heterogeneous traders, price-volume signals, and complex asset price dynamics (English)
0 references
24 October 2005
0 references
Summary: We seek to develop a novel asset pricing model with heterogeneous traders. Fundamental traders expect that asset prices converge towards their intrinsic values, whereas chart traders rely on both price and volume signals to determine their orders. To be precise, the larger the trading volume, the more they believe in the persistence of the current price trend. Simulations of our nonlinear deterministic model reveal that interactions between fundamentalists and chartists may cause intricate endogenous price fluctuations. Contrary to the intuition, we find that chart trading may increase market stability.
0 references