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

• Main Authors: LEE, Bernard, CHENG, Shih-Fen, KOH, Annie
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2010
• 主題: 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
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/1871; https://ink.library.smu.edu.sg/context/lkcsb_research/article/2870/viewcontent/KohA2010ExtremePriceShocks.pdf
• 機構: 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...