Chiarella, Carl; He, Xue-Zhong; Hommes, Cars - In: Physica A: Statistical Mechanics and its Applications 370 (2006) 1, pp. 12-17
Despite the pervasiveness of the efficient markets paradigm in the academic finance literature, the use of various moving average (MA) trading rules remains popular with financial market practitioners. This paper proposes a stochastic dynamic financial market model in which demand for traded...