Heterogeneous traders, price-volume signals, and complex asset price dynamics
We seek to develop a novel asset pricing model with heterogeneous traders. Fundamental traders expect that asset prices converge towards their intrinsic values, whereas chart traders rely on both price and volume signals to determine their orders. To be precise, the larger the trading volume, the mo...
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| Format: | Article |
| Language: | English |
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Wiley
2005-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/DDNS.2005.19 |
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| _version_ | 1850237338767065088 |
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| author | Frank H. Westerhoff |
| author_facet | Frank H. Westerhoff |
| author_sort | Frank H. Westerhoff |
| collection | DOAJ |
| description | We seek to develop a novel asset pricing model with heterogeneous traders. Fundamental traders expect that asset prices converge towards their
intrinsic values, whereas chart traders rely on both price and volume signals to determine their orders. To be precise, the larger the trading volume, the more they believe in the persistence of the current price trend. Simulations of our nonlinear deterministic
model reveal that interactions between fundamentalists and chartists may cause intricate endogenous price fluctuations. Contrary to the intuition, we find that chart trading may increase market stability. |
| format | Article |
| id | doaj-art-009bf47fc6014591b6e8719e4a014f8a |
| institution | OA Journals |
| issn | 1026-0226 1607-887X |
| language | English |
| publishDate | 2005-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-009bf47fc6014591b6e8719e4a014f8a2025-08-20T02:01:46ZengWileyDiscrete Dynamics in Nature and Society1026-02261607-887X2005-01-0120051192910.1155/DDNS.2005.19Heterogeneous traders, price-volume signals, and complex asset price dynamicsFrank H. Westerhoff0Department of Economics, University of Osnabrueck, Rolandstrasse 8, Osnabrueck 49069, GermanyWe seek to develop a novel asset pricing model with heterogeneous traders. Fundamental traders expect that asset prices converge towards their intrinsic values, whereas chart traders rely on both price and volume signals to determine their orders. To be precise, the larger the trading volume, the more they believe in the persistence of the current price trend. Simulations of our nonlinear deterministic model reveal that interactions between fundamentalists and chartists may cause intricate endogenous price fluctuations. Contrary to the intuition, we find that chart trading may increase market stability.http://dx.doi.org/10.1155/DDNS.2005.19 |
| spellingShingle | Frank H. Westerhoff Heterogeneous traders, price-volume signals, and complex asset price dynamics Discrete Dynamics in Nature and Society |
| title | Heterogeneous traders, price-volume signals, and complex asset price dynamics |
| title_full | Heterogeneous traders, price-volume signals, and complex asset price dynamics |
| title_fullStr | Heterogeneous traders, price-volume signals, and complex asset price dynamics |
| title_full_unstemmed | Heterogeneous traders, price-volume signals, and complex asset price dynamics |
| title_short | Heterogeneous traders, price-volume signals, and complex asset price dynamics |
| title_sort | heterogeneous traders price volume signals and complex asset price dynamics |
| url | http://dx.doi.org/10.1155/DDNS.2005.19 |
| work_keys_str_mv | AT frankhwesterhoff heterogeneoustraderspricevolumesignalsandcomplexassetpricedynamics |