15 search hits
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Gender differences in residential mobility : the case of leaving home in East Germany
(2012)
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Ferdinand Geißler
Thomas Leopold
Sebastian Pink
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Liquidity Transformation Factors of Islamic Banks: An Empirical Analysis
(2012)
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Andreas Oehler
Mahir Alman
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Entrepreneurial Literacy: Empirical Evidence
(2012)
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Andreas Oehler
Andreas Höfer
Henrik Schalkowski
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Insider Stock Trading and the Bond Market
(2012)
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Andreas Oehler
Kuntara Pukthuanthong
Thomas J. Walker
Stefan Wendt
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Effects of Election Results on Stock Price Performance: Evidence from 1976 to 2008
(2012)
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Andreas Oehler
Thomas J. Walker
Stefan Wendt
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Analysts and regulation: Scopes for European policy makers to enhance investor protection
(2012)
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Andreas Höfer
Andreas Oehler
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Does experience affect security analysts accuracy? Empirical evidence
(2012)
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Andreas Höfer
Andreas Oehler
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The bull and bear market model of Huang and Day: some extensions and new results
(2012)
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Fabio Tramontana
Frank Westerhoff
Laura Gardini
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Removing systematic patterns in returns in a financial market model by artificially intelligent traders
(2012)
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Björn-Christopher Witte
- The unpredictability of returns counts as a stylized fact of financial markets. To reproduce this fact, modelers
usually implement noise terms − a method with several downsides. Above all, systematic patterns are not
eliminated but merely blurred. The present article introduces a model in which systematic patterns are removed
endogenously. This is achieved in a reality-oriented way: Intelligent traders are able to identify patterns and
exploit them. To identify and predict patterns, a very simple artificial neural network is used. As neural network
mimic the cognitive processes of the human brain, this method might be regarded as a quite accurate way of how
traders identify patterns and forecast prices in reality. The simulation experiments show that the artificial traders
exploit patterns effectively and thereby remove them, which ultimately leads to the unpredictability of prices.
Further results relate to the influence of pattern exploiters on market efficiency.
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Interactions between the real economy and the stock market
(2012)
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Frank Westerhoff
- We develop a simple behavioral macro model to study interactions between the real
economy and the stock market. The real economy is represented by a Keynesian goods
market approach while the setup for the stock market includes heterogeneous speculators.
Using a mixture of analytical and numerical tools we find, for instance, that speculators may
create endogenous boom-bust dynamics in the stock market which, by spilling over into the
real economy, can cause lasting fluctuations in economic activity. However, fluctuations in
economic activity may, by shaping the firms’ fundamental values, also have an impact on
the dynamics of the stock market.