Can Trend Followers Survive in the Long-Run% Insights from Agent-Based Modeling

DOI10.1007/978-3-540-77477-8_14MaRDI QIDQ3521782zbMATH OpenOpenAlexFDO

Authors Xue-Zhong He, Philip Hamill, Youwei Li

Publication date 26 August 2008

Published in Natural Computing in Computational Finance (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10453/8015

Mathematics Subject Classification ID

Other game-theoretic models (91A40) Microeconomic theory (price theory and economic markets) (91B24)

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(2)

• Trend following with momentum versus moving averages: a tale of differences
• An endogenous evolution mechanism model of asset prices based on time-varying risk aversion coefficient

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