Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/38759
Authors: 
Westerhoff, Frank
Year of Publication: 
2009
Series/Report no.: 
BERG Working paper series on government and growth 61
Abstract: 
We develop an agent-based financial market model in which agents follow technical and fundamental trading rules to determine their speculative investment positions. A central feature of our model is that we consider direct interactions between speculators due to which they may decide to change their trading behavior. For instance, if a technical trader meets a fundamental trader and they realize that fundamental trading has been more profitable than technical trading in the recent past, the probability that the technical trader switches to fundamental trading rules is relatively high. Our simple setup is able to replicate some salient features of asset price dynamics.
Subjects: 
Agent-based financial market models
direct interactions
evolutionary fitness measures
technical and fundamental analysis
stylized facts of financial markets
JEL: 
G12
G14
G15
ISBN: 
978-3-931052-67-6
Document Type: 
Working Paper

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