Multiasset market dynamics

DC FieldValueLanguage
dc.contributor.authorWesterhoff, FH
dc.date.accessioned2021-12-23T15:56:24Z-
dc.date.available2021-12-23T15:56:24Z-
dc.date.issued2004
dc.identifier.issn13651005
dc.identifier.urihttps://osnascholar.ub.uni-osnabrueck.de/handle/unios/2329-
dc.descriptionCeNDEF Seminar 2003, Amsterdam, NETHERLANDS, APR, 2003
dc.description.abstractThis 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.
dc.language.isoen
dc.publisherCAMBRIDGE UNIV PRESS
dc.relation.ispartofMACROECONOMIC DYNAMICS
dc.subjectasset price dynamics
dc.subjectBusiness & Economics
dc.subjectcomovements in stock prices
dc.subjectEconomics
dc.subjectEXCHANGE-RATE EXPECTATIONS
dc.subjectheterogeneous agents
dc.subjectPRICE DYNAMICS
dc.subjecttechnical and fundamental analysis
dc.titleMultiasset market dynamics
dc.typeconference paper
dc.identifier.doi10.1017/S1365100504040040
dc.identifier.isiISI:000225204400004
dc.description.volume8
dc.description.issue5
dc.description.startpage596
dc.description.endpage616
dc.contributor.orcid0000-0003-1666-4103
dc.contributor.researcheridF-2933-2015
dc.identifier.eissn14698056
dc.publisher.place32 AVENUE OF THE AMERICAS, NEW YORK, NY 10013-2473 USA
dcterms.isPartOf.abbreviationMacroecon. Dyn.
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