Direkt zur Hauptnavigation springen Direkt zum Inhalt springen
info(at)avldigital.remove-this.de
Deutsch English
Filtern nach
Aktive Filter
Letzte Suchanfragen

Ergebnisse für *

Zeige Ergebnisse 1 bis 4 von 4.

  1. Noise-trading, costly arbitage, and asset prices
    evidence from US closed-end funds
    Erschienen: 30 Aug. 2005
    Verlag:  Vassar College, Dep. of Economics, Poughkeepsie, NY

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    W 1710 (71)
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Vassar College economics working paper series ; 71
    Schlagworte: Noise Trading; Arbitrage; Investmentfonds; USA; Großbritannien
    Umfang: Online-Ressource, 29 S. = 158 K, Text, graph. Darst.
  2. A noise trader model as a generator of apparent financial power laws and long memory
    Erschienen: 2005
    Verlag:  Univ., Dep. of Economics, Kiel

    In various agent-based models the stylized facts of financial markets (unit-roots, fat tails and volatility clustering) have been shown to emerge from the interactions of agents. However, the complexity of these models often limits their analytical... mehr

    Standort:
    Universitätsbibliothek Kiel, Zentralbibliothek
    Signatur:
    EZ 180
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe

     

    In various agent-based models the stylized facts of financial markets (unit-roots, fat tails and volatility clustering) have been shown to emerge from the interactions of agents. However, the complexity of these models often limits their analytical accessibility. In this paper we show that even a very simple model of a financial market with heterogeneous interacting agents is capable of reproducing these ubiquitous statistical properties. The simplicity of our approach permits to derive some analytical insights using concepts from statistical mechanics. In our model, traders are divided into two groups: fundamentalists and chartists, and their interactions are based on a variant of the herding mechanism introduced by Kirman [1993]. The statistical analysis of simulated data points toward long-term dependence in the auto-correlations of squared and absolute returns and hyperbolic decay in the tail of the distribution of raw returns, both with estimated decay parameters in the same range like those of empirical data. Theoretical analysis, however, excludes the possibility of ‘true’ scaling behavior because of the Markovian nature of the underlying process and the boundedness of returns. The model, therefore, only mimics power law behavior. Similarly as with the phenomenological volatility models analyzed in LeBaron [2001], the usual statistical tests are not able to distinguish between true or pseudo-scaling laws in the dynamics of our artificial market

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Economics working paper / Christian-Albrechts-Universität Kiel, Department of Economics ; 2005,13
    Schlagworte: Börsenkurs; Wertpapierhandel; Noise Trading; Statistischer Test; Theorie; Herdenverhalten; Prognosemarkt; Statistische Verteilung
    Umfang: Online-Ressource, 24 S., Text, Ill
  3. The impact of FX central bank intervention in a noise trading framework
    Erschienen: Aug. 2005
    Verlag:  CESifo, München

    In this paper we investigate the effects of central bank interventions (CBI) in a noise trading model with chartists and fundamentalists. We first estimate a model in which chartists extrapolate past returns and fundamentalists forecast a mean... mehr

    Standort:
    Staats- und Universitätsbibliothek Bremen
    Fernleihe:
    keine Fernleihe

    Standort:
    Niedersächsische Staats- und Universitätsbibliothek Göttingen
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe

     

    In this paper we investigate the effects of central bank interventions (CBI) in a noise trading model with chartists and fundamentalists. We first estimate a model in which chartists extrapolate past returns and fundamentalists forecast a mean reverting dynamics of the exchange rate towards a fundamental value. Then, we investigate the role of central bank interventions in explaining the switching properties between the two types of agents. We find evidence that in the medium run, interventions increase the proportion of fundamentalists and therefore exert some stabilizing influence on the exchange rate.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Array ; 1520
    Schlagworte: Wechselkurspolitik; Devisenmarkt; Noise Trading; Finanzanalyse; Schätzung; Wechselkurs; Volatilität; Theorie; EU-Staaten; USA
    Umfang: Online-Ressource, 35 p. = 507 KB, text, ill
  4. Three essays on financial economics
    Autor*in: Capuano, Christian
    Erschienen: 2005

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    B 354150
    Fernleihe:
    uneingeschränkte Fernleihe, Kopie und Ausleihe
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Dissertation
    Format: Druck
    Schlagworte: Derivat; Auktionstheorie; Asymmetrische Information; Noise Trading; Theorie; Internationale Staatsschulden; Zinsstruktur; Entwicklungsländer
    Umfang: IV, 79 S.
    Bemerkung(en):

    Kopie, ersch. im Verl. UMI, Ann Arbor, Mich. - Enth. 3 Beitr

    Zugl.: New York, NY, Columbia Univ., Graduate School of Arts and Sciences, Diss., 2005