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unknown title
, 2009
"... Table of contents List of figures………………………………………………………………………………....III List of tables…………………………………….……………….…………………………...IV Attestation of Authorship……………………………………….…………………………….V ..."
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Table of contents List of figures………………………………………………………………………………....III List of tables…………………………………….……………….…………………………...IV Attestation of Authorship……………………………………….…………………………….V
IOS Press News Reaction in Financial Markets within a Behavioral Finance Model with Heterogeneous Agents
"... Abstract. This paper presents a Heterogeneous Agent Model of a financial market with chartist and fundamentalist traders that exhibit bounded rationality and short-term thinking to explain the effect of under and overreaction to news. The existence of the Market Maker’s finite price adjustment speed ..."
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Abstract. This paper presents a Heterogeneous Agent Model of a financial market with chartist and fundamentalist traders that exhibit bounded rationality and short-term thinking to explain the effect of under and overreaction to news. The existence of the Market Maker’s finite price adjustment speed and the presence of risk aversion lead to the fact that prices do not adjust instantaneously to new information. Chartists use moving average rules to make their investment decisions. They can transform an underreaction-only scenario into a market with overreaction. The use of long moving average rules might even make the market unstable. Higher market efficiency (low deviations from fundamental value), on the other hand, is achieved if high rationality and long-term thinking for the agents is assumed.
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"... g it in ng, in They d tability re than xperim ’ (Luca t the d the es in about the future state of the global economy. A theory of individual expectations or market beliefs is therefore a crucial part of economic theory. Markets are expectations feedback systems and any dynamic economic model depends ..."
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g it in ng, in They d tability re than xperim ’ (Luca t the d the es in about the future state of the global economy. A theory of individual expectations or market beliefs is therefore a crucial part of economic theory. Markets are expectations feedback systems and any dynamic economic model depends crucially
