Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/169122 
Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
Economics Discussion Papers No. 2017-63
Verlag: 
Kiel Institute for the World Economy (IfW), Kiel
Zusammenfassung: 
The use of fundamentalist traders in the stock market models is problematic since fundamental values in the real world are unknown. Yet, in the literature to date, fundamentalists are often required to replicate key stylized facts. The authors present an agent-based model of the stock market in which the fundamental value of the asset is unknown. They start with a zero intelligence stock market model with a limit-order-book. Then, the authors add technical traders which switch between a simple momentum and mean reversion strategy depending on its relative profitability. Technical traders use the price to earnings ratio as a proxy for fundamentals. If price to earnings are either too high or too low, they sell or buy, respectively.
Schlagwörter: 
Agent-based modelling
financial markets
technical and fundamental analysis
asset pricing
JEL: 
C63
D53
D84
G12
G17
Creative-Commons-Lizenz: 
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Dokumentart: 
Working Paper

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