Noemi Schmitt und Frank Westerhoff veröffentlichen im Journal of Economic Behavior and Organization

Der Beitrag "Trend followers, contrarians and fundamentalists: explaining the dynamics of financial markets" von Noemi Schmitt und Frank Westerhoff ist im Journal of Economic Behavior and Organization erschienen.

Abstract: We propose an empirically motivated financial market model in which speculators rely on trend-following, contrarian and fundamental trading rules to determine their orders. Speculators’ probabilistic rule-selection behavior – the only type of intrinsic randomness in our model – depends on past and current performance indicators. Our model replicates a number of important stylized facts of financial markets, most noteworthy their approximate random walk price behavior. For a large number of speculators, the model’s intrinsic randomness vanishes and its dynamics is driven by an analytically tractable nonlinear map. An in-depth investigation into this map provides the key to understanding how the model functions.

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