He, Xue-Zhong, Hamill, Philip and Li, Youwei (2008) Can Trend Followers Survive in the Long Run? Insights from Agent-Based Modeling. In: Natural Computing in Computational Finance. (Eds: Brabazon, Anthony and O'Neill, Michael), Springer, pp. 253-269. ISBN 978-3-540-77476-1 [Book section]
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This paper uses a simple stochastic market fraction (MF) asset pricing model to investigate market dominance, profitability, and how traders adopting fundamental analysis or trend following strategies can survive under various market conditions in the long/short-run. This contrasts with the modern theory of finance which relies on the paradigm of utility maximizing representative agents and rational expectations assumptions which some contemporary theorists regard as extreme. This school of thought would predict that trend followers will be driven out of the markets in the long-run. Our analysis shows that in a MF framework this is not necessarily the case and that trend followers can survive in the long-run.
|Item Type:||Book section|
|Faculties and Schools:||Ulster Business School|
Ulster Business School > Department of Business and Enterprise
|Research Institutes and Groups:||Business and Management Research Institute|
|Deposited By:||Professor Philip Hamill|
|Deposited On:||21 Oct 2010 12:35|
|Last Modified:||04 Oct 2012 16:21|
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