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Asset allocation and multivariate position based trading

  • Bernd Pape

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    File URL: http://hdl.handle.net/10.1007/s11403-007-0021-3
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    Article provided by Springer in its journal Journal of Economic Interaction and Coordination.

    Volume (Year): 2 (2007)
    Issue (Month): 2 (December)
    Pages: 163-193

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    Handle: RePEc:spr:jeicoo:v:2:y:2007:i:2:p:163-193
    Contact details of provider: Web page: http://www.springer.com/economics/economic+theory/journal/11403

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    1. A. Meltzer & Peter Ordeshook & Thomas Romer, 1983. "Introduction," Public Choice, Springer, vol. 41(1), pages 1-5, January.
    2. J. Doyne Farmer & Shareen Joshi, 2000. "The price dynamics of common trading strategies," Papers cond-mat/0012419, arXiv.org.
    3. 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.
    4. Lux, T. & M. Marchesi, . "Scaling and Criticality in a Stochastic Multi-Agent Model of a Financial Market," Discussion Paper Serie B 438, University of Bonn, Germany, revised Jul 1998.
    5. Lux, Thomas, 1998. "The socio-economic dynamics of speculative markets: interacting agents, chaos, and the fat tails of return distributions," Journal of Economic Behavior & Organization, Elsevier, vol. 33(2), pages 143-165, January.
    6. Westerhoff, Frank H., 2004. "Multiasset Market Dynamics," Macroeconomic Dynamics, Cambridge University Press, vol. 8(05), pages 596-616, November.
    7. A. P. Thirlwall, 1983. "Introduction," Journal of Post Keynesian Economics, M.E. Sharpe, Inc., vol. 5(3), pages 341-344, April.
    8. Honkapohja, Seppo & Ito, Takatoshi, 1983. "Stability with regime switching," Journal of Economic Theory, Elsevier, vol. 29(1), pages 22-48, February.
    9. Day, R. & Huang, W., 1988. "Bulls, Bears And Market Sheep," Papers m8822, Southern California - Department of Economics.
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