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Incorporating positions into asset pricing models with order-based strategies

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  • Reiner Franke

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  • Toichiro Asada
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    File URL: http://hdl.handle.net/10.1007/s11403-008-0042-6
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    Bibliographic Info

    Article provided by Springer in its journal Journal of Economic Interaction and Coordination.

    Volume (Year): 3 (2008)
    Issue (Month): 2 (December)
    Pages: 201-227

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    Handle: RePEc:spr:jeicoo:v:3:y:2008:i:2:p:201-227

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    Web page: http://www.springer.com/economics/economic+theory/journal/11403

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    Web: http://link.springer.de/orders.htm

    Related research

    Keywords: Beja–Goldman model; Financial positions of traders; Four-dimensional stability analysis; Stability reswitching; Misalignment; C 15; D 84; G 12;

    References

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    1. J. Doyne Farmer & Shareen Joshi, 2000. "The Price Dynamics of Common Trading Strategies," Working Papers 00-12-069, Santa Fe Institute.
    2. Rui Carvalho, 2001. "The Dynamics of the Linear Random Farmer Model," Papers cond-mat/0107150, arXiv.org.
    3. Bradfield, James, 1979. "A Formal Dynamic Model of Market Making," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(02), pages 275-291, June.
    4. LeBaron, Blake, 2006. "Agent-based Computational Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 24, pages 1187-1233 Elsevier.
    5. Beja, Avraham & Goldman, M Barry, 1980. " On the Dynamic Behavior of Prices in Disequilibrium," Journal of Finance, American Finance Association, vol. 35(2), pages 235-48, May.
    6. Hommes, Cars H., 2006. "Heterogeneous Agent Models in Economics and Finance," Handbook of Computational Economics, in: Leigh Tesfatsion & Kenneth L. Judd (ed.), Handbook of Computational Economics, edition 1, volume 2, chapter 23, pages 1109-1186 Elsevier.
    7. Frank Westerhoff, 2003. "Market-maker, inventory control and foreign exchange dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 3(5), pages 363-369.
    8. Oliver Hansch & Narayan Y. Naik & S. Viswanathan, 1998. "Do Inventories Matter in Dealership Markets? Evidence from the London Stock Exchange," Journal of Finance, American Finance Association, vol. 53(5), pages 1623-1656, October.
    9. He, Xue-Zhong & Li, Youwei, 2007. "Power-law behaviour, heterogeneity, and trend chasing," Journal of Economic Dynamics and Control, Elsevier, vol. 31(10), pages 3396-3426, October.
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    Cited by:
    1. Franke, Reiner, 2009. "A prototype model of speculative dynamics with position-based trading," Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1134-1158, May.
    2. Franke, Reiner, 2008. "On the Interpretation of Price Adjustments and Demand in Asset Pricing Models with Mean-Variance Optimization," Economics Working Papers 2008,13, Christian-Albrechts-University of Kiel, Department of Economics.
    3. Zhu, Mei & Chiarella, Carl & He, Xue-Zhong & Wang, Duo, 2009. "Does the market maker stabilize the market?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(15), pages 3164-3180.
    4. Schmitt, Noemi & Westerhoff, Frank, 2013. "Speculative behavior and the dynamics of interacting stock markets," BERG Working Paper Series 90, Bamberg University, Bamberg Economic Research Group.
    5. Daniel Fricke & Thomas Lux, 2013. "The Effects of a Financial Transaction Tax in an Artificial Financial Market," Kiel Working Papers 1868, Kiel Institute for the World Economy.
    6. Dieci, Roberto & Westerhoff, Frank, 2010. "Heterogeneous speculators, endogenous fluctuations and interacting markets: A model of stock prices and exchange rates," Journal of Economic Dynamics and Control, Elsevier, vol. 34(4), pages 743-764, April.

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