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Structural stochastic volatility in asset pricing dynamics: Estimation and model contest

Franke, Reiner; Westerhoff, Frank - 2011

these lines reveals a strong role for a (tamed) herding component. The quantitative performance of the winner model is so …

Persistent link: https://www.econbiz.de/10010304673

A simple agent-based financial market model: Direct interactions and comparisons of trading profits

Westerhoff, Frank - 2009

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...

Persistent link: https://www.econbiz.de/10010300807

Splitting Orders in Fragmented Markets

Menkveld, Bert - 2001

A number of recent theoretical studies have explored trading in fragmented markets, e.g. Biais etal. (2000), a phenomenon increasingly witnessed in modern markets. The key assumptiongenerating the results is that there is at least one liquidity demander exploiting access to allmarkets by...

Persistent link: https://www.econbiz.de/10010324853

International Stock Return Predictability Under Model Uncertainty

Schrimpf, Andreas - 2008

This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive...

Persistent link: https://www.econbiz.de/10010298059

Electronic trading systems and intraday non-linear dynamics: An examination of the FTSE 100 cash and futures returns

Canto, Bea; Kräussl, Roman - 2007

This paper focuses on dynamic interactions of equity prices among theoretically related assets. We explore the existence of intraday non-linearities in the FTSE 100 cash and futures indices. We test whether the introduction of the electronic trading systems in the London Stock Exchange in 1997...

Persistent link: https://www.econbiz.de/10010298369

Time variation in asset price response to macro announcements

Goldberg, Linda S.; Grisse, Christian - 2013

Although the effects of economic news announcements on asset prices are well established, theserelationships are unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high-frequency data from January 2000 through August 2011....

Persistent link: https://www.econbiz.de/10010333621

The Impact of Experience on Risk Taking, Overconfidence, and Herding of Fund Managers: Complementary Survey Evidence

Brozynski, Torsten; Menkhoff, Lukas; Schmidt, Ulrich - 2004

. Higher risk taking may be explained by a higher degree of overconfidence, less herding behavior, or a lower degree of risk … of previous studies, we find that herding is decreasing with experience while the evidence concerning risk taking and …, geringeres Herdenverhalten oder durch geringere Risikoaversion erklärt werden. Da die Ergebnisse vorheriger Studien bezüglich des …

Persistent link: https://www.econbiz.de/10010261673

Herding, Information Cascades and Volatility Spillovers in Futures Markets

McAleer, Michael; Radalj, Kim - 2013

-making process. Herding is the deliberate mimicking of the decisions of other agents. Examples of mimicry range from the choice of … restaurant, fashion and financial market participants, to academic research. Herding may conjure negative images of irrational … provide a direct test of herding behaviour, namely the extent to which small traders mimic the positions of large speculators …

Persistent link: https://www.econbiz.de/10010326188

Biases of professional exchange rate forecasts: Psychological explanations and an experimentally based comparison to novices

Leitner, Johannes; Schmidt, Robert; Bofinger, Peter - 2003

The empirical performance of macroeconomic exchange rate models is more than disappointing. This dismal result is also reflected in the forecasting capabilities of professional analysts: all in all, analysts are not in a position to beat naïve random walk forecasts. The root for this deficient...

Persistent link: https://www.econbiz.de/10010305737

Modeling Asset Returns: A Comparison of Theoretical and Empirical Models

Lüders, Erik; Schröder, Michael - 2004

This paper presents and compares several time-series models for returns of broadbased stock indices. These models nest a nonlinear asymmetric GARCH (NGARCH) model as a special case. Some of these models are empirically motivated ad-hoc specifications others are derived from a representative...

Persistent link: https://www.econbiz.de/10010297345