Bubbles, shocks and elementary technical trading strategies
نویسندگان
چکیده
منابع مشابه
Price and Wealth Asymptotic Dynamics with Crra Technical Trading Strategies *
We consider a simple pure exchange economy with two assets, one riskless, yielding a constant return on investment, and one risky, paying a stochastic dividend. Trading takes place in discrete time and in each trading period the price of the risky asset is fixed by imposing market clearing condition on the sum of traders individual demand functions. We assume that agents’ strategies are consist...
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0378-4266/$ see front matter 2012 Elsevier B.V. A http://dx.doi.org/10.1016/j.jbankfin.2012.09.012 ⇑ Corresponding author at: Faculty of Business Ad versity, 955 Oliver Road, Thunder Bay, ON, Canada P7 fax: +1 807 343 8443. E-mail addresses: [email protected] (N. (R. Gençay). From the market microstructure perspective, technical analysis can be profitable when informed traders make systemat...
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ژورنال
عنوان ژورنال: The European Physical Journal B
سال: 2014
ISSN: 1434-6028,1434-6036
DOI: 10.1140/epjb/e2013-40587-y