Multiasset market dynamics

Autor(en): Westerhoff, FH
Stichwörter: asset price dynamics; Business & Economics; comovements in stock prices; Economics; EXCHANGE-RATE EXPECTATIONS; heterogeneous agents; PRICE DYNAMICS; technical and fundamental analysis
Erscheinungsdatum: 2004
Herausgeber: CAMBRIDGE UNIV PRESS
Journal: MACROECONOMIC DYNAMICS
Volumen: 8
Ausgabe: 5
Startseite: 596
Seitenende: 616
Zusammenfassung: 
This paper explores multiasset market dynamics. We consider a limited number of markets on which two types of agents are active. Fundamentalists specialize in a certain market to gather expertise. Chartists may switch between markets since they use simple extrapolative methods. Specifically, chartists prefer markets that display price trends but that are not too misaligned. The interaction between the traders causes complex dynamics. Even in the absence of random shocks, our artificial markets mimic the behavior of actual asset markets closely. Our model also offers reasons for the high degree of comovements in stock prices observed empirically.
Beschreibung: 
CeNDEF Seminar 2003, Amsterdam, NETHERLANDS, APR, 2003
ISSN: 13651005
DOI: 10.1017/S1365100504040040

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