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

• المؤلفون الرئيسيون: LEE, Bernard, CHENG, Shih-Fen, KOH, Annie
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2010
• الموضوعات: Extreme Price Shocks; Market Liquidity; Systematic Trend Followers; Speculative Activities; Agent-Based Computational Economics; Commodity Trading Advisors; Financial Crisis; Computer Sciences; Finance and Financial Management; Operations Research, Systems Engineering and Industrial Engineering; Portfolio and Security Analysis
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/1871; https://ink.library.smu.edu.sg/context/lkcsb_research/article/2870/viewcontent/KohA2010ExtremePriceShocks.pdf
• المؤسسة: Singapore Management University

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...