An Analysis of Extreme Price Shocks and Illiquidity among Systematic Trend Followers

We construct an agent-based model to study the interplay between extreme price shocks and illiquidity in the presence of systematic traders known as trend followers. The agent-based approach is particularly attractive in modeling commodity markets because the approach allows for the explicit modelin...

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Bibliographic Details
Main Authors: LEE, Wing Bernard, CHENG, Shih-Fen, KOH, Annie
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2010
Subjects:
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/1870
https://ink.library.smu.edu.sg/context/lkcsb_research/article/2869/viewcontent/KohA2010ChenSFExtremePrice.pdf
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Institution: Singapore Management University
Language: English