منابع مشابه
A Dynamic Analysis of Moving Average Rules
The use of various moving average (MA) rules remains popular with financial market practitioners. These rules have recently become the focus of a number empirical studies, but there have been very few studies of financial market models where some agents employ technical trading rules of the type used in practice. In this paper we propose a dynamic financial market model in which demand for trad...
متن کاملA Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market
Abstract. Inspired by the theoretically oriented dynamic analysis of moving average rules in Chiarella, He and Hommes (CHH) (2006a) model, this paper conducts a dynamic analysis of a microstructure model of continuous double auctions in which the probability of heterogeneous agents to trade is determined by the rules of either fundamentalists mean-reverting to the fundamental or chartists who u...
متن کاملA Dynamic Analysis of Moving Average Rules in a Double Auction Market
This paper will build on earlier work of Chiarella, He and Hommes (2006)(CHH) who investigate the stabilising and destabilising impact on financial markets ofthe commonly used moving average rules. The model of CHH relied on a market makermechanism to clear the market. Here we shall consider a continuous double auction as themarket clearing mechanism. The market consists of fund...
متن کاملDynamic Stability Analysis of a Beam Excited by a Sequence of Moving Mass Particles
In this paper, the dynamic stability analysis of a simply supported beam carrying a sequence of moving masses is investigated. Many applications such as motion of vehicles or trains on bridges, cranes transporting loads along their span, fluid transfer pipe systems and the barrel of different weapons can be represented as a flexible beam carrying moving masses. The periodical traverse of masses...
متن کاملDynamic Behavior Analysis of a Geometrically Nonlinear Plate Subjected to a Moving Load
In this paper, the nonlinear dynamical behavior of an isotropic rectangular plate, simply supported on all edges under influence of a moving mass and as well as an equivalent concentrated force is studied. The governing nonlinear coupled PDEs of motion are derived by energy method using Hamilton’s principle based on the large deflection theory in conjuncture with the von-Karman strain-displacem...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2005
ISSN: 1556-5068
DOI: 10.2139/ssrn.742386