An Analysis of Extreme Price Shocks and Illiquidity among Trend Followers

• Main Authors: LEE, Bernard, CHENG, Shih-Fen, KOH, Annie
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2010
• Subjects: Artificial Intelligence and Robotics; Finance and Financial Management; Operations Research, Systems Engineering and Industrial Engineering
• Online Access: https://ink.library.smu.edu.sg/sis_research/374; https://ink.library.smu.edu.sg/context/sis_research/article/1373/viewcontent/ChengSFKoh_ExtremePriceShocks.pdf
• Institution: 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...