Can trend followers survive in the long-run? Insights from agent-based modeling

He, XZ; Hamill, P; Li, Y

Can trend followers survive in the long-run? Insights from agent-based modeling

He, XZ

Hamill, P Li, Y

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Publication Type:: Chapter
Citation:: 2008, 100 pp. 253 - 269
Issue Date:: 2008-06-10

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Field	Value	Language
dc.contributor.author	He, XZ https://orcid.org/0000-0003-1446-9996	en_US
dc.contributor.author	Hamill, P	en_US
dc.contributor.author	Li, Y https://orcid.org/0000-0002-2142-7607	en_US
dc.date.issued	2008-06-10	en_US
dc.identifier.citation	2008, 100 pp. 253 - 269	en_US
dc.identifier.isbn	9783540774761	en_US
dc.identifier.uri	http://hdl.handle.net/10453/8015
dc.description.abstract	This chapter uses a simple stochastic market fraction (MF) asset pricing model to investigate market dominance, profitability, and how traders adopting fundamental analysis or trend following strategies can survive under various market conditions in the long/short-run. This contrasts with the modern theory of finance which relies on the paradigm of utility maximizing representative agents and rational expectations assumptions which some contemporary theorists regard as extreme. This school of thought would predict that trend followers will be driven out of the markets in the long-run. Our analysis shows that in a MF framework this is not necessarily the case and that trend followers can survive in the long-run. © 2008 Springer-Verlag Berlin Heidelberg.	en_US
dc.relation	http://purl.org/au-research/grants/arc/DP0450526
dc.relation.isbasedon	10.1007/978-3-540-77477-8_14	en_US
dc.subject.classification	Artificial Intelligence & Image Processing	en_US
dc.title	Can trend followers survive in the long-run? Insights from agent-based modeling	en_US
dc.type	Chapter
utslib.citation.volume	100	en_US
utslib.for	140103 Mathematical Economics	en_US
utslib.for	150201 Finance	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	open_access
pubs.publication-status	Published	en_US
pubs.volume	100	en_US

Abstract:

This chapter uses a simple stochastic market fraction (MF) asset pricing model to investigate market dominance, profitability, and how traders adopting fundamental analysis or trend following strategies can survive under various market conditions in the long/short-run. This contrasts with the modern theory of finance which relies on the paradigm of utility maximizing representative agents and rational expectations assumptions which some contemporary theorists regard as extreme. This school of thought would predict that trend followers will be driven out of the markets in the long-run. Our analysis shows that in a MF framework this is not necessarily the case and that trend followers can survive in the long-run. © 2008 Springer-Verlag Berlin Heidelberg.

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http://hdl.handle.net/10453/8015