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...
Saved in:
| Main Authors: | , , |
|---|---|
| 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 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |