He, Xue-Zhong, Hamill, Philip and Li, Youwie (2008) Can Trend Followers Survive in the Long-Run? Insights from Agent-Based Modeling. In: Natural Computing in Computational Finance. (Eds: Brabazon, Anthony and O'Neill, Michael), Springer, pp. 253-269. ISBN 978-3-540-77476-1 [Book section]
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This paper uses a simple stochastic market fraction (MF) asset pric-ing model to investigate market dominance, profitability, and how traders adoptingfundamental analysis or trend following strategies can survive under various marketconditions in the long/short-run. This contrasts with the modern theory of financewhich relies on the paradigm of utility maximizing representative agents and ratio-nal expectations assumptions which some contemporary theorists regard as extreme.This school of thought would predict that trend followers will be driven out of themarkets in the long-run. Our analysis shows that in a MF framework this is notnecessarily the case and that trend followers can survive in the long-run.
|Item Type:||Book section|
|Faculties and Schools:||Ulster Business School|
Ulster Business School > Department of Business and Enterprise
|Research Institutes and Groups:||Business and Management Research Institute|
|Deposited By:||Professor Philip Hamill|
|Deposited On:||18 Jan 2010 17:18|
|Last Modified:||04 Oct 2012 15:21|
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