Asset allocation and multivariate position based trading
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Day, Richard H. & Huang, Weihong, 1990. "Bulls, bears and market sheep," Journal of Economic Behavior & Organization, Elsevier, vol. 14(3), pages 299-329, December.
- Westerhoff, Frank H., 2004. "Multiasset Market Dynamics," Macroeconomic Dynamics, Cambridge University Press, vol. 8(05), pages 596-616, November.
- Farmer, J. Doyne & Joshi, Shareen, 2002. "The price dynamics of common trading strategies," Journal of Economic Behavior & Organization, Elsevier, vol. 49(2), pages 149-171, October.
- 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.
- Lux, T. & M. Marchesi, "undated". "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.
- Honkapohja, Seppo & Ito, Takatoshi, 1983. "Stability with regime switching," Journal of Economic Theory, Elsevier, vol. 29(1), pages 22-48, February.
- A. Meltzer & Peter Ordeshook & Thomas Romer, 1983. "Introduction," Public Choice, Springer, vol. 41(1), pages 1-5, January.
- Beja, Avraham & Goldman, M Barry, 1980. " On the Dynamic Behavior of Prices in Disequilibrium," Journal of Finance, American Finance Association, vol. 35(2), pages 235-248, May.
- A. P. Thirlwall, 1983. "Introduction," Journal of Post Keynesian Economics, Taylor & Francis Journals, vol. 5(3), pages 341-344, March.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Lux, Thomas, 2012. "Estimation of an agent-based model of investor sentiment formation in financial markets," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1284-1302.
- Lux, Thomas, 2008.
"Stochastic behavioral asset pricing models and the stylized facts,"
Economics Working Papers
2008-08, Christian-Albrechts-University of Kiel, Department of Economics.
- Thomas Lux, 2008. "Stochastic Behavioral Asset Pricing Models and the Stylized Facts," Working Papers wp08-03, Warwick Business School, Finance Group.
- Lux, Thomas, 2009. "Mass psychology in action: identification of social interaction effects in the German stock market," Kiel Working Papers 1514, Kiel Institute for the World Economy (IfW).
- Schmitt, Noemi & Westerhoff, Frank, 2014.
"Speculative behavior and the dynamics of interacting stock markets,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 45(C), pages 262-288.
- 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.
- Lux, Thomas, 2008. "Stochastic behavioral asset pricing models and the stylized facts," Kiel Working Papers 1426, Kiel Institute for the World Economy (IfW).
More about this item
KeywordsAsset allocation; Heterogeneous agents; Multivariate price dynamics; Position based trading; C61; D40; D84; G11; G12;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- D40 - Microeconomics - - Market Structure, Pricing, and Design - - - General
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:jeicoo:v:2:y:2007:i:2:p:163-193. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: http://www.springer.com .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.