Bet against the trend and cash in profits: ...
Type de document :
Article dans une revue scientifique: Article original
URL permanente :
Titre :
Bet against the trend and cash in profits: An agent‑based model of endogenous fluctuations of exchange rates
Auteur(s) :
Titre de la revue :
Journal of Evolutionary Economics
Numéro :
33
Pagination :
429 - 472
Date de publication :
2023-05
Résumé en anglais : [en]
This paper intends to contribute to the literature on the determinants of exchange
rate fluctuations. We build an agent-based model inspired by the literature on behavioral
finance and by empirical surveys about the ...
Lire la suite >This paper intends to contribute to the literature on the determinants of exchange rate fluctuations. We build an agent-based model inspired by the literature on behavioral finance and by empirical surveys about the behavior of foreign exchange professionals. In our artificial economy, traders allocate their wealth across heterogeneous assets based on expectations about exchange and interest rate fluctuations. Fundamentalists use both fundamental and technical signals, but overweight the former, while chartists only employ technical signals, and are either trend followers or trend contrarians. Each class of traders represents a fixed share of total traders. We find that the simultaneous co-existence of heterogeneous strategies can explain most stylized facts of foreign exchange markets, despite the absence of short-run switching from less to more profitable rules. Moreover, contrary to the predictions of the Market Selection Hypothesis, we find that heterogeneity of expectations is an essential requirement for traders’ profitability, as no class of traders can dominate the market profitably.Lire moins >
Lire la suite >This paper intends to contribute to the literature on the determinants of exchange rate fluctuations. We build an agent-based model inspired by the literature on behavioral finance and by empirical surveys about the behavior of foreign exchange professionals. In our artificial economy, traders allocate their wealth across heterogeneous assets based on expectations about exchange and interest rate fluctuations. Fundamentalists use both fundamental and technical signals, but overweight the former, while chartists only employ technical signals, and are either trend followers or trend contrarians. Each class of traders represents a fixed share of total traders. We find that the simultaneous co-existence of heterogeneous strategies can explain most stylized facts of foreign exchange markets, despite the absence of short-run switching from less to more profitable rules. Moreover, contrary to the predictions of the Market Selection Hypothesis, we find that heterogeneity of expectations is an essential requirement for traders’ profitability, as no class of traders can dominate the market profitably.Lire moins >
Langue :
Français
Comité de lecture :
Oui
Audience :
Internationale
Vulgarisation :
Non
Établissement(s) :
Université de Lille
CNRS
Univ. Littoral Côte d’Opale
CNRS
Univ. Littoral Côte d’Opale
Collections :
Date de dépôt :
2024-01-30T17:04:57Z
Fichiers
- Bassi et al - Bet against the trend and cash-in profits.pdf
- Non spécifié
- Accès confidentiel
- Accéder au document