메뉴 건너뛰기




Volumn 100, Issue , 2008, Pages 253-269

Can trend followers survive in the long-run? Insights from agent-based modeling

Author keywords

[No Author keywords available]

Indexed keywords


EID: 44649104499     PISSN: 1860949X     EISSN: None     Source Type: Book Series    
DOI: 10.1007/978-3-540-77477-8_14     Document Type: Article
Times cited : (3)

References (32)
  • 2
    • 33644879257 scopus 로고    scopus 로고
    • Asset Pricing Under Endogeneous Expectations in an Artifical Stock Market
    • Arthur W, Holland J, LeBaron B, Palmer R, Tayler P (1997) Asset Pricing Under Endogeneous Expectations in an Artifical Stock Market. Economic Notes 26(2):297-330.
    • (1997) Economic Notes , vol.26 , Issue.2 , pp. 297-330
    • Arthur, W.1    Holland, J.2    LeBaron, B.3    Palmer, R.4    Tayler, P.5
  • 3
    • 0001288049 scopus 로고    scopus 로고
    • A Rational Route to Randomness
    • Brock W, Hommes C (1997) A Rational Route to Randomness. Econometrica 65:1059-1095
    • (1997) Econometrica , vol.65 , pp. 1059-1095
    • Brock, W.1    Hommes, C.2
  • 4
    • 0000921080 scopus 로고    scopus 로고
    • Heterogeneous Beliefs and Routes to Chaos in a Simple Asset Pricing Model
    • Brock W, Hommes C (1998) Heterogeneous Beliefs and Routes to Chaos in a Simple Asset Pricing Model. Journal of Economic Dynamics and Control 22:1235-1274
    • (1998) Journal of Economic Dynamics and Control , vol.22 , pp. 1235-1274
    • Brock, W.1    Hommes, C.2
  • 5
    • 20444476485 scopus 로고    scopus 로고
    • Value and Growth Investing: Review and Update
    • Chan, L, Lakonishok J (2004) Value and Growth Investing: Review and Update. Financial Analysts Journal 60:71-86
    • (2004) Financial Analysts Journal , vol.60 , pp. 71-86
    • Chan, L.1    Lakonishok, J.2
  • 6
    • 0001380566 scopus 로고
    • The Dynamics of Speculative Behaviour
    • Chiarella C (1992) The Dynamics of Speculative Behaviour. Annals of Operations Research 37:101-123
    • (1992) Annals of Operations Research , vol.37 , pp. 101-123
    • Chiarella, C.1
  • 7
    • 85008776505 scopus 로고    scopus 로고
    • Asset Pricing and Wealth Dynamics under Heterogeneous Expectations
    • Chiarella C, He X (2001) Asset Pricing and Wealth Dynamics under Heterogeneous Expectations. Quantitative Finance 1:509-526
    • (2001) Quantitative Finance , vol.1 , pp. 509-526
    • Chiarella, C.1    He, X.2
  • 8
    • 84867947516 scopus 로고    scopus 로고
    • Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model
    • Chiarella C, He X (2002) Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model. Computational Economics 19:95-132
    • (2002) Computational Economics , vol.19 , pp. 95-132
    • Chiarella, C.1    He, X.2
  • 10
    • 0141859796 scopus 로고    scopus 로고
    • Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker
    • Chiarella C, He X (2003b) Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker. Macroeconomic Dynamics 7:503-536
    • (2003) Macroeconomic Dynamics , vol.7 , pp. 503-536
    • Chiarella, C.1    He, X.2
  • 11
    • 0004291281 scopus 로고    scopus 로고
    • Princeton University Press, Princeton
    • Cochrane J (2001) Asset Pricing. Princeton University Press, Princeton
    • (2001) Asset Pricing
    • Cochrane, J.1
  • 13
    • 0041059062 scopus 로고
    • A Long Memory Property of Stock market Returns and a New Model
    • Ding Z, Granger C, Engle R (1993) A Long Memory Property of Stock market Returns and a New Model. Journal of Empirical Finance 1:83-106
    • (1993) Journal of Empirical Finance , vol.1 , pp. 83-106
    • Ding, Z.1    Granger, C.2    Engle, R.3
  • 14
    • 0002849453 scopus 로고
    • The Case for Flexible Exchange Rate
    • Chicago, University of Chicago Press
    • Friedman M (1953) The Case for Flexible Exchange Rate. In: Essays in positive economics. Chicago, University of Chicago Press
    • (1953) Essays in positive economics
    • Friedman, M.1
  • 15
    • 0001753311 scopus 로고    scopus 로고
    • Endogenous Fluctuations in a Simple Asset Pricing Model with Heterogeneous Agents
    • Gaunersdorfer A (2000) Endogenous Fluctuations in a Simple Asset Pricing Model with Heterogeneous Agents. Journal of Economic Dynamics and Control 24:799-831
    • (2000) Journal of Economic Dynamics and Control , vol.24 , pp. 799-831
    • Gaunersdorfer, A.1
  • 17
    • 38449102636 scopus 로고    scopus 로고
    • Heterogeneity, Convergence, and Autocorrelations
    • in press
    • He X, Li Y (2007a) Heterogeneity, Convergence, and Autocorrelations. Quantitative Finance in press
    • (2007) Quantitative Finance
    • He, X.1    Li, Y.2
  • 18
    • 34547681257 scopus 로고    scopus 로고
    • Power-law behaviour, Heterogeneity, and Trend Chasing
    • He X, Li Y (2007b) Power-law behaviour, Heterogeneity, and Trend Chasing. Journal of Economic Dynamics and Control 31:3396-3426
    • (2007) Journal of Economic Dynamics and Control , vol.31 , pp. 3396-3426
    • He, X.1    Li, Y.2
  • 21
    • 0000444193 scopus 로고    scopus 로고
    • Agent-based Computational Finance: Suggested Readings and Early Research
    • LeBaron B (2000) Agent-based Computational Finance: Suggested Readings and Early Research. Journal of Economic Dynamics & Control 24:679-702
    • (2000) Journal of Economic Dynamics & Control , vol.24 , pp. 679-702
    • LeBaron, B.1
  • 22
    • 85008852637 scopus 로고    scopus 로고
    • A Builder's Guide to Agent-based Financial Markets
    • LeBaron B (2001) A Builder's Guide to Agent-based Financial Markets. Quantitative Finance 1(2):254-261
    • (2001) Quantitative Finance , vol.1 , Issue.2 , pp. 254-261
    • LeBaron, B.1
  • 23
    • 58049108494 scopus 로고    scopus 로고
    • Calibrating an Agent-based Financial Market to Macroeconomic Time Series
    • Technical report, Brandeis University, Waltham, MA
    • LeBaron B (2002) Calibrating an Agent-based Financial Market to Macroeconomic Time Series. Technical report, Brandeis University, Waltham, MA
    • (2002)
    • LeBaron, B.1
  • 24
    • 66049155348 scopus 로고    scopus 로고
    • Agent-based Computational Finance
    • Judd K. and Tesfatsion L, ed, Elsevier Science
    • LeBaron B (2006) Agent-based Computational Finance. In Judd K. and Tesfatsion L. (ed) Handbook of Computational Economics Volume 2. Elsevier Science.
    • (2006) Handbook of Computational Economics , vol.2
    • LeBaron, B.1
  • 28
    • 0031617088 scopus 로고    scopus 로고
    • The Social-economic Dynamics of Speculative Markets: Interacting Agents, Chaos, and the Fat Tails of Return Distributions
    • Lux T (1998) The Social-economic Dynamics of Speculative Markets: Interacting Agents, Chaos, and the Fat Tails of Return Distributions Journal of Economic Behaviour & Organization 33:143-165
    • (1998) Journal of Economic Behaviour & Organization , vol.33 , pp. 143-165
    • Lux, T.1
  • 29
    • 0033545290 scopus 로고    scopus 로고
    • Scaling and Criticality in a Stochastic Multi-agent Model of a Financial Markets
    • Lux T, Marchesi M (1999) Scaling and Criticality in a Stochastic Multi-agent Model of a Financial Markets. Nature 397(11):498-500
    • (1999) Nature , vol.397 , Issue.11 , pp. 498-500
    • Lux, T.1    Marchesi, M.2
  • 30
    • 0030139575 scopus 로고    scopus 로고
    • The Econometrics of Financial Markets
    • Pagan A (1996) The Econometrics of Financial Markets. Journal of Empirical Finance 3:15-102
    • (1996) Journal of Empirical Finance , vol.3 , pp. 15-102
    • Pagan, A.1
  • 31
    • 1942495094 scopus 로고    scopus 로고
    • From Efficient Markets Theory to Behavioural Finance
    • Shiller R (2003) From Efficient Markets Theory to Behavioural Finance. Journal of Economic Perspectives 17(1):83-104
    • (2003) Journal of Economic Perspectives , vol.17 , Issue.1 , pp. 83-104
    • Shiller, R.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.