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
Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62) Dynamical systems in optimization and economics (37N40)
Related Items (31)
Animal spirits in the foreign exchange market ⋮ Effects of fundamentals acquisition and strategy switch on stock price dynamics ⋮ Dynamic mode decomposition for financial trading strategies ⋮ Estimation of financial agent-based models with simulated maximum likelihood ⋮ Heterogeneous expectations, boom-bust housing cycles, and supply conditions: a nonlinear economic dynamics approach ⋮ Optimal monetary policy in a New Keynesian model with animal spirits and financial markets ⋮ A laboratory experiment on the heuristic switching model ⋮ Asset allocation with time series momentum and reversal ⋮ Behavioral heterogeneity and financial crisis: the role of sentiment ⋮ Bounded rationality, asymmetric information and mispricing in financial markets ⋮ Market equilibria under procedural rationality ⋮ A financial market model with endogenous fundamental values through imitative behavior ⋮ A model of information flows and confirmatory bias in financial markets ⋮ An analysis of the effect of noise in a heterogeneous agent financial market model ⋮ Predicting the unpredictable: new experimental evidence on forecasting random walks ⋮ The limit distribution of evolving strategies in financial markets ⋮ Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model ⋮ Loss aversion in an agent-based asset pricing model ⋮ Some reflections on past and future of nonlinear dynamics in economics and finance ⋮ A heterogeneous agent model of asset price dynamics with two time delays ⋮ Fundamentalists, chartists and asset pricing anomalies ⋮ FURTHER REDUCTION OF NORMAL FORMS AND UNIQUE NORMAL FORMS OF SMOOTH MAPS ⋮ Prices, debt and market structure in an agent-based model of the financial market ⋮ Herding, trend chasing and market volatility ⋮ Coordinated bubbles and crashes ⋮ Dynamic instability in generic model of multi-assets markets ⋮ Do stylised facts of order book markets need strategic behaviour? ⋮ Time series momentum trading strategy and autocorrelation amplification ⋮ Eductive stability may not imply evolutionary stability in the presence of information costs ⋮ Cross-section instability in financial markets: impatience, extrapolation, and switching ⋮ IS MORE MEMORY IN EVOLUTIONARY SELECTION (DE)STABILIZING?
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The dynamics of speculative behaviour
- Heterogeneous beliefs and routes to chaos in a simple asset pricing model
- On the profitability of technical trading rules based on artificial neural networks: Evidence from the Madrid stock market
- Heterogeneous beliefs, risk and learning in a simple asset pricing model
- Dynamics of beliefs and learning under \(a_{L}\)-processes -- the heterogeneous case
- Agent-based computational finance: Suggested readings and early research
- A Rational Route to Randomness
- HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER
- Profitable technical trading rules as a source of price instability
- Elements of applied bifurcation theory
- Critical bifurcation surfaces of 3D discrete dynamics
This page was built for publication: A dynamic analysis of moving average rules