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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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2010
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/1871 https://ink.library.smu.edu.sg/context/lkcsb_research/article/2870/viewcontent/KohA2010ExtremePriceShocks.pdf |
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| Institution: | Singapore Management University |
| Language: | English |