A dynamic analysis of moving average rules

From MaRDI portal
Publication:959647

DOI10.1016/j.jedc.2005.08.014zbMath1162.91474OpenAlexW3124293414MaRDI QIDQ959647

Xue-Zhong He, Carl Chiarella, Cars H. Hommes

Publication date: 12 December 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10453/5107




Related Items (31)

Animal spirits in the foreign exchange marketEffects of fundamentals acquisition and strategy switch on stock price dynamicsDynamic mode decomposition for financial trading strategiesEstimation of financial agent-based models with simulated maximum likelihoodHeterogeneous expectations, boom-bust housing cycles, and supply conditions: a nonlinear economic dynamics approachOptimal monetary policy in a New Keynesian model with animal spirits and financial marketsA laboratory experiment on the heuristic switching modelAsset allocation with time series momentum and reversalBehavioral heterogeneity and financial crisis: the role of sentimentBounded rationality, asymmetric information and mispricing in financial marketsMarket equilibria under procedural rationalityA financial market model with endogenous fundamental values through imitative behaviorA model of information flows and confirmatory bias in financial marketsAn analysis of the effect of noise in a heterogeneous agent financial market modelPredicting the unpredictable: new experimental evidence on forecasting random walksThe limit distribution of evolving strategies in financial marketsHeterogeneous beliefs and adaptive behaviour in a continuous-time asset price modelLoss aversion in an agent-based asset pricing modelSome reflections on past and future of nonlinear dynamics in economics and financeA heterogeneous agent model of asset price dynamics with two time delaysFundamentalists, chartists and asset pricing anomaliesFURTHER REDUCTION OF NORMAL FORMS AND UNIQUE NORMAL FORMS OF SMOOTH MAPSPrices, debt and market structure in an agent-based model of the financial marketHerding, trend chasing and market volatilityCoordinated bubbles and crashesDynamic instability in generic model of multi-assets marketsDo stylised facts of order book markets need strategic behaviour?Time series momentum trading strategy and autocorrelation amplificationEductive stability may not imply evolutionary stability in the presence of information costsCross-section instability in financial markets: impatience, extrapolation, and switchingIS MORE MEMORY IN EVOLUTIONARY SELECTION (DE)STABILIZING?



Cites Work


This page was built for publication: A dynamic analysis of moving average rules