Fundamentals unknown: Momentum, mean-reversion and price-to-earnings trading in an artificial stock market
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Cited by:
- Baumann, Michael Heinrich & Baumann, Michaela & Erler, Alexander, 2019. "Limitations of stabilizing effects of fundamentalists: Facing positive feedback traders," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 13, pages 1-26.
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More about this item
Keywords
Agent-based modelling; financial markets; technical and fundamental analysis; asset pricing;All these keywords.
JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
- D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2017-10-15 (Computational Economics)
- NEP-FMK-2017-10-15 (Financial Markets)
- NEP-MST-2017-10-15 (Market Microstructure)
- NEP-ORE-2017-10-15 (Operations Research)
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