The Interacting Behavior of Short- and Long-memory Investors in Agent-based Model
Tan, Duoduo (2007) The Interacting Behavior of Short- and Long-memory Investors in Agent-based Model. [Dissertation (University of Nottingham only)] (Unpublished)
Standard financial theories believe that the market price has included all information available and the past price cannot be used to forecast future price. However, in the real world, investors who use different lengths of past information to determine their investment are usually able to beat the market. The project tries to investigate whether the trading behavior of long- and short-memory investors could affect price process of the market through agent-based model. Although the technology of agent-based model is still imperfectly, it seems to provide a reasonable sense to the actual world.
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