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A Dynamic Analysis of Moving Average Rules

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Cited by:

  1. Hermsen, Oliver & Witte, Björn-Christopher & Westerhoff, Frank, 2010. "Disclosure requirements, the release of new information and market efficiency: new insights from agent-based models," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 4, pages 1-26.
  2. Sandrine Jacob Leal & Mauro Napoletano & Andrea Roventini & Giorgio Fagiolo, 2016. "Rock around the clock: An agent-based model of low- and high-frequency trading," Journal of Evolutionary Economics, Springer, vol. 26(1), pages 49-76, March.
  3. Fischer, Thomas, 2011. "News reaction in financial markets within a behavioral finance model with heterogeneous agents," Darmstadt Discussion Papers in Economics 205, Darmstadt University of Technology, Department of Law and Economics.
  4. K. J. Hong & S. Satchell, 2015. "Time series momentum trading strategy and autocorrelation amplification," Quantitative Finance, Taylor & Francis Journals, vol. 15(9), pages 1471-1487, September.
  5. Qi Nan Zhai, 2015. "Asset Pricing Under Ambiguity and Heterogeneity," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 16, July-Dece.
  6. Chiarella Carl & Di Guilmi Corrado, 2015. "The limit distribution of evolving strategies in financial markets," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(2), pages 137-159, April.
  7. Schmitt, Noemi & Westerhoff, Frank, 2021. "Trend followers, contrarians and fundamentalists: Explaining the dynamics of financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 192(C), pages 117-136.
  8. Anufriev, Mikhail & Bottazzi, Giulio, 2010. "Market equilibria under procedural rationality," Journal of Mathematical Economics, Elsevier, vol. 46(6), pages 1140-1172, November.
  9. Xue-Zhong He & Youwei Li, 2017. "The adaptiveness in stock markets: testing the stylized facts in the DAX 30," Journal of Evolutionary Economics, Springer, vol. 27(5), pages 1071-1094, November.
  10. Schulmeister, Stephan, 2006. "The interaction between technical currency trading and exchange rate fluctuations," Finance Research Letters, Elsevier, vol. 3(3), pages 212-233, September.
  11. KiHoon Jimmy Hong & Eliza Wu, 2014. "Can Momentum Factors Be Used to Enhance Accounting Information based Fundamental Analysis in Explaining Stock Price Movements?," Research Paper Series 346, Quantitative Finance Research Centre, University of Technology, Sydney.
  12. Bask, Mikael, 2007. "Long swings and chaos in the exchange rate in a DSGE model with a Taylor rule," Research Discussion Papers 19/2007, Bank of Finland.
  13. Radu T. Pruna & Maria Polukarov & Nicholas R. Jennings, 2020. "Loss aversion in an agent-based asset pricing model," Quantitative Finance, Taylor & Francis Journals, vol. 20(2), pages 275-290, February.
  14. Fischer, Thomas & Riedler, Jesper, 2014. "Prices, debt and market structure in an agent-based model of the financial market," Journal of Economic Dynamics and Control, Elsevier, vol. 48(C), pages 95-120.
  15. Marsili, Matteo & Raffaelli, Giacomo & Ponsot, Benedicte, 2009. "Dynamic instability in generic model of multi-assets markets," Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1170-1181, May.
  16. Chiarella, Carl & He, Xue-Zhong & Zheng, Min, 2011. "An analysis of the effect of noise in a heterogeneous agent financial market model," Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 148-162, January.
  17. J. P. Bouchaud & S. Ciliberti & Y. Lemp'eri`ere & A. Majewski & P. Seager & K. Sin Ronia, 2017. "Black was right: Price is within a factor 2 of Value," Papers 1711.04717, arXiv.org, revised Nov 2017.
  18. Anufriev, Mikhail & Dindo, Pietro, 2010. "Wealth-driven selection in a financial market with heterogeneous agents," Journal of Economic Behavior & Organization, Elsevier, vol. 73(3), pages 327-358, March.
  19. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frederic Abergel, 2011. "Econophysics review: II. Agent-based models," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 1013-1041.
  20. Ron Bird & Lorenzo Casavecchia & Paolo Pellizzari & Paul Woolley, 2011. "The impact on the pricing process of costly active management and performance chasing clients," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 6(1), pages 61-82, May.
  21. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frédéric Abergel, 2011. "Econophysics review: I. Empirical facts," Post-Print hal-00621058, HAL.
  22. He, Xue-Zhong & Li, Kai & Wei, Junjie & Zheng, Min, 2009. "Market stability switches in a continuous-time financial market with heterogeneous beliefs," Economic Modelling, Elsevier, vol. 26(6), pages 1432-1442, November.
  23. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2008. "Heterogeneity, Market Mechanisms, and Asset Price Dynamics," Research Paper Series 231, Quantitative Finance Research Centre, University of Technology, Sydney.
  24. Roberto Dieci & Xue-Zhong He, 2018. "Heterogeneous Agent Models in Finance," Research Paper Series 389, Quantitative Finance Research Centre, University of Technology, Sydney.
  25. Anirban Chakraborti & Ioane Muni Toke & Marco Patriarca & Frederic Abergel, 2011. "Econophysics review: I. Empirical facts," Quantitative Finance, Taylor & Francis Journals, vol. 11(7), pages 991-1012.
  26. He, Xue-Zhong & Li, Kai, 2012. "Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model," Journal of Economic Dynamics and Control, Elsevier, vol. 36(7), pages 973-987.
  27. Urban J. Jermann & Vincenzo Quadrini, 2006. "Financial innovations and macroeconomic volatility," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
  28. Bao, Te & Corgnet, Brice & Hanaki, Nobuyuki & Riyanto, Yohanes E. & Zhu, Jiahua, 2023. "Predicting the unpredictable: New experimental evidence on forecasting random walks," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
  29. K. J. Hong & S. Satchell, 2013. "Time Series Momentum Trading Strategy and Autocorrelation Amplification," Cambridge Working Papers in Economics 1322, Faculty of Economics, University of Cambridge.
  30. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2013. "Time-varying beta: a boundedly rational equilibrium approach," Journal of Evolutionary Economics, Springer, vol. 23(3), pages 609-639, July.
  31. Thomas Fischer, 2017. "Can Redistribution by Means of a Progressive Labor Income-Taxation Transfer System Increase Financial Stability?," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 20(2), pages 1-3.
  32. Hommes, Cars & Kiseleva, Tatiana & Kuznetsov, Yuri & Verbic, Miroslav, 2012. "Is More Memory In Evolutionary Selection (De)Stabilizing?," Macroeconomic Dynamics, Cambridge University Press, vol. 16(3), pages 335-357, June.
  33. Wang, Lijun & An, Haizhong & Liu, Xiaojia & Huang, Xuan, 2016. "Selecting dynamic moving average trading rules in the crude oil futures market using a genetic approach," Applied Energy, Elsevier, vol. 162(C), pages 1608-1618.
  34. Zhao, Lu-Tao & Wang, Yi & Guo, Shi-Qiu & Zeng, Guan-Rong, 2018. "A novel method based on numerical fitting for oil price trend forecasting," Applied Energy, Elsevier, vol. 220(C), pages 154-163.
  35. Lijun Wang & Haizhong An & Xiaohua Xia & Xiaojia Liu & Xiaoqi Sun & Xuan Huang, 2014. "Generating Moving Average Trading Rules on the Oil Futures Market with Genetic Algorithms," Mathematical Problems in Engineering, Hindawi, vol. 2014, pages 1-10, May.
  36. Di Guilmi, Corrado & He, Xue-Zhong & Li, Kai, 2014. "Herding, trend chasing and market volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 48(C), pages 349-373.
  37. F. Cavalli & A. Naimzada & M. Pireddu, 2017. "An evolutive financial market model with animal spirits: imitation and endogenous beliefs," Journal of Evolutionary Economics, Springer, vol. 27(5), pages 1007-1040, November.
  38. Verbic, Miroslav, 2006. "Memory and Asset Pricing Models with Heterogeneous Beliefs," MPRA Paper 1261, University Library of Munich, Germany.
  39. Luca Guerrini & Akio Matsumoto & Ferenc Szidarovszky, 2018. "A heterogeneous agent model of asset price dynamics with two time delays," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(2), pages 379-397, November.
  40. Xue-Zhong He, 2012. "Recent Developments on Heterogeneous Beliefs and Adaptive Behaviour of Financial Markets," Research Paper Series 316, Quantitative Finance Research Centre, University of Technology, Sydney.
  41. Ted Theodosopoulos & Alex Trifunovic, 2006. "Hybrid dynamics for currency modeling," Papers math/0605457, arXiv.org.
  42. He, Xue-Zhong & Zheng, Min, 2010. "Dynamics of moving average rules in a continuous-time financial market model," Journal of Economic Behavior & Organization, Elsevier, vol. 76(3), pages 615-634, December.
  43. Andrew Detzel & Hong Liu & Jack Strauss & Guofu Zhou & Yingzi Zhu, 2021. "Learning and predictability via technical analysis: Evidence from bitcoin and stocks with hard‐to‐value fundamentals," Financial Management, Financial Management Association International, vol. 50(1), pages 107-137, March.
  44. Sandrine Jacob Leal, 2015. "Fundamentalists, Chartists and Asset pricing anomalies," Post-Print hal-01508002, HAL.
  45. Priebe, Stefan & Bogic, Marija & Ashcroft, Richard & Franciskovic, Tanja & Galeazzi, Gian Maria & Kucukalic, Abdulah & Lecic-Tosevski, Dusica & Morina, Nexhmedin & Popovski, Mihajlo & Roughton, Michae, 2010. "Experience of human rights violations and subsequent mental disorders - A study following the war in the Balkans," Social Science & Medicine, Elsevier, vol. 71(12), pages 2170-2177, December.
  46. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2011. "The dynamic behaviour of asset prices in disequilibrium: a survey," International Journal of Behavioural Accounting and Finance, Inderscience Enterprises Ltd, vol. 2(2), pages 101-139.
  47. He, Xue-Zhong & Li, Youwei, 2015. "Testing of a market fraction model and power-law behaviour in the DAX 30," Journal of Empirical Finance, Elsevier, vol. 31(C), pages 1-17.
  48. Chiarella, Carl & He, Xue-Zhong & Pellizzari, Paolo, 2012. "A Dynamic Analysis Of The Microstructure Of Moving Average Rules In A Double Auction Market," Macroeconomic Dynamics, Cambridge University Press, vol. 16(4), pages 556-575, September.
  49. He, Xue-Zhong & Li, Kai & Wang, Chuncheng, 2016. "Volatility clustering: A nonlinear theoretical approach," Journal of Economic Behavior & Organization, Elsevier, vol. 130(C), pages 274-297.
  50. João Nicolau, 0. "A discrete and a continuous-time model based on a technical trading rule," Journal of Financial Econometrics, Oxford University Press, vol. 5(2), pages 266-284.
  51. Schulmeister, Stephan, 2009. "Aggregate trading behaviour of technical models and the yen/dollar exchange rate 1976-2007," Japan and the World Economy, Elsevier, vol. 21(3), pages 270-279, August.
  52. Miroslav Verbic, 2008. "On the Role of Memory in an Asset Pricing Model with Heterogeneous Beliefs," Financial Theory and Practice, Institute of Public Finance, vol. 32(2), pages 195-229.
  53. repec:hal:spmain:info:hdl:2441/f6h8764enu2lskk9p4oq9ig8k is not listed on IDEAS
  54. Lu-Tao Zhao & Shun-Gang Wang & Zhi-Gang Zhang, 2020. "Oil Price Forecasting Using a Time-Varying Approach," Energies, MDPI, vol. 13(6), pages 1-16, March.
  55. Li, Jie & Ren, Da & Feng, Xu & Zhang, Yongjie, 2016. "Network of listed companies based on common shareholders and the prediction of market volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 462(C), pages 508-521.
  56. Christopher J. Neely & Paul A. Weller, 2011. "Technical analysis in the foreign exchange market," Working Papers 2011-001, Federal Reserve Bank of St. Louis.
  57. de Zwart, Gerben & Markwat, Thijs & Swinkels, Laurens & van Dijk, Dick, 2009. "The economic value of fundamental and technical information in emerging currency markets," Journal of International Money and Finance, Elsevier, vol. 28(4), pages 581-604, June.
  58. Bianconi, Ginestra & Galla, Tobias & Marsili, Matteo & Pin, Paolo, 2009. "Effects of Tobin taxes in minority game markets," Journal of Economic Behavior & Organization, Elsevier, vol. 70(1-2), pages 231-240, May.
  59. repec:spo:wpmain:info:hdl:2441/f6h8764enu2lskk9p4oq9ig8k is not listed on IDEAS
  60. Min Zheng & Duo Wang & Xue-Zhong He, 2009. "Asymmetry of technical analysis and market price volatility," Published Paper Series 2009-6, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  61. He, Xue-Zhong & Li, Kai & Li, Youwei, 2018. "Asset allocation with time series momentum and reversal," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 441-457.
  62. Yu Zhang & Weihong Huang, 2018. "Impact of strategy switching on wealth accumulation," Journal of Evolutionary Economics, Springer, vol. 28(4), pages 961-983, September.
  63. Ladley, Dan & Schenk-Hoppé, Klaus Reiner, 2009. "Do stylised facts of order book markets need strategic behaviour?," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 817-831, April.
  64. Lengnick, Matthias & Wohltmann, Hans-Werner, 2016. "Optimal monetary policy in a new Keynesian model with animal spirits and financial markets," Journal of Economic Dynamics and Control, Elsevier, vol. 64(C), pages 148-165.
  65. He, Xue-Zhong & Li, Youwei & Zheng, Min, 2019. "Heterogeneous agent models in financial markets: A nonlinear dynamics approach," International Review of Financial Analysis, Elsevier, vol. 62(C), pages 135-149.
  66. repec:zbw:bofrdp:2007_019 is not listed on IDEAS
  67. Paolo Mazza & Mikael Petitjean, 2019. "Testing the effect of technical analysis on market quality and order book dynamics," Applied Economics, Taylor & Francis Journals, vol. 51(18), pages 1947-1976, April.
  68. Jordan Mann & J. Nathan Kutz, 2016. "Dynamic mode decomposition for financial trading strategies," Quantitative Finance, Taylor & Francis Journals, vol. 16(11), pages 1643-1655, November.
  69. He, Xue-Zhong & Li, Kai, 2015. "Profitability of time series momentum," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 140-157.
  70. Kai Li, 2014. "Asset Price Dynamics with Heterogeneous Beliefs and Time Delays," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 13, July-Dece.
  71. Zheng, Min & Liu, Ruipeng & Li, Youwei, 2018. "Long memory in financial markets: A heterogeneous agent model perspective," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 38-51.
  72. Sandrine Jacob Leal, 2013. "Momentum effect in individual stocks and heterogeneous beliefs among fundamentalists," Economics Bulletin, AccessEcon, vol. 33(4), pages 3102-3116.
  73. Zheng, Huanhuan, 2020. "Coordinated bubbles and crashes," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).
  74. Kai Li, 2014. "Asset Price Dynamics with Heterogeneous Beliefs and Time Delays," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2014, January-A.
  75. Bask, Mikael, 2007. "Long swings and chaos in the exchange rate in a DSGE model with a Taylor rule," Bank of Finland Research Discussion Papers 19/2007, Bank of Finland.
  76. Ke, Xiaoling & Shi, Ke, 2009. "Stability and bifurcation in a simple heterogeneous asset pricing model," Economic Modelling, Elsevier, vol. 26(3), pages 680-688, May.
  77. De Grauwe, Paul & Rovira Kaltwasser, Pablo, 2012. "Animal spirits in the foreign exchange market," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1176-1192.
  78. Dieci, Roberto & Westerhoff, Frank, 2016. "Heterogeneous expectations, boom-bust housing cycles, and supply conditions: A nonlinear economic dynamics approach," Journal of Economic Dynamics and Control, Elsevier, vol. 71(C), pages 21-44.
  79. Kukacka, Jiri & Barunik, Jozef, 2017. "Estimation of financial agent-based models with simulated maximum likelihood," Journal of Economic Dynamics and Control, Elsevier, vol. 85(C), pages 21-45.
  80. Naimzada, Ahmad & Pireddu, Marina, 2020. "Eductive stability may not imply evolutionary stability in the presence of information costs," Economics Letters, Elsevier, vol. 186(C).
  81. Stephan Schulmeister, 2007. "The Interaction Between the Aggregate Behaviour of Technical Trading Systems and Stock Price Dynamics," WIFO Working Papers 290, WIFO.
  82. Todd Feldman & Gabriele Lepori, 2016. "Asset price formation and behavioral biases," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 8(2), pages 137-155, November.
  83. Hong, KiHoon & Wu, Eliza, 2016. "The roles of past returns and firm fundamentals in driving US stock price movements," International Review of Financial Analysis, Elsevier, vol. 43(C), pages 62-75.
  84. Ginestra Bianconi & Tobias Galla & Matteo Marsili, 2006. "Effects of Tobin Taxes in Minority Game markets," Papers cond-mat/0603134, arXiv.org.
  85. Wang, Chengjin & Gao, Yudong & Li, Honggang, 2021. "Information interaction, behavioral synchronization and asset market volatility," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
  86. Frank Westerhoff & Reiner Franke, 2012. "Converse trading strategies, intrinsic noise and the stylized facts of financial markets," Quantitative Finance, Taylor & Francis Journals, vol. 12(3), pages 425-436, June.
  87. Strobel, Marcus & Auer, Benjamin R., 2018. "Does the predictive power of variable moving average rules vanish over time and can we explain such tendencies?," International Review of Economics & Finance, Elsevier, vol. 53(C), pages 168-184.
  88. Qi Nan Zhai, 2015. "Asset Pricing Under Ambiguity and Heterogeneity," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2015, January-A.
  89. Xuan Zhou & Honggang Li, 2019. "Buying on Margin and Short Selling in an Artificial Double Auction Market," Computational Economics, Springer;Society for Computational Economics, vol. 54(4), pages 1473-1489, December.
  90. Weihong HUANG & Yu ZHANG, 2015. "Strategy Change and Wealth Accumulation: An Analysis of S&P 500 Data," Economic Growth Centre Working Paper Series 1502, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
  91. Anufriev, Mikhail & Chernulich, Aleksei & Tuinstra, Jan, 2018. "A laboratory experiment on the heuristic switching model," Journal of Economic Dynamics and Control, Elsevier, vol. 91(C), pages 21-42.
  92. Dieci, Roberto & Westerhoff, Frank, 2015. "Heterogeneous expectations, boom-bust housing cycles, and supply conditions: A nonlinear dynamics approach," BERG Working Paper Series 99, Bamberg University, Bamberg Economic Research Group.
  93. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2009. "A Framework for CAPM with Heterogenous Beliefs," Research Paper Series 254, Quantitative Finance Research Centre, University of Technology, Sydney.
  94. Sandrine Jacob Leal, 2015. "Fundamentalists, chartists and asset pricing anomalies," Quantitative Finance, Taylor & Francis Journals, vol. 15(11), pages 1837-1850, November.
  95. Bowden, Mark P., 2012. "Information contagion within small worlds and changes in kurtosis and volatility in financial prices," Journal of Macroeconomics, Elsevier, vol. 34(2), pages 553-566.
  96. de Jong, Eelke & Verschoor, Willem F.C. & Zwinkels, Remco C.J., 2010. "Heterogeneity of agents and exchange rate dynamics: Evidence from the EMS," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1652-1669, December.
  97. Ma-Ju Wang, 2014. "A Study on the Differences in Adopting Cash Refund Capital Reduction and Stock Repurchase By Companies in Bull and Bear Stock Markets," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 4(9), pages 1237-1253, September.
  98. Qingbin Gong & Zhe Yang, 2020. "Arbitrage, speculation and futures price fluctuations with boundedly rational and heterogeneous agents," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(4), pages 763-791, October.
  99. Noemi Schmitt & Frank Westerhoff, 2022. "Speculative housing markets and rent control: insights from nonlinear economic dynamics," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 17(1), pages 141-163, January.
  100. Chiarella, Carl & He, Xue-Zhong & Hommes, Cars, 2006. "Moving average rules as a source of market instability," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(1), pages 12-17.
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