Do Moving Average Rules Make Profits? A Study Using the Madrid Stock Market
نویسندگان
چکیده
منابع مشابه
A 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...
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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...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2004
ISSN: 1556-5068
DOI: 10.2139/ssrn.966154