Westerhoff Frank
Department of Economics, University of Osnabrueck, Osnabrueck, Germany.
Nonlinear Dynamics Psychol Life Sci. 2003 Jul;7(3):245-62. doi: 10.1023/a:1022867217510.
This paper deals with speculative trading. Guided by empirical observations, a nonlinear deterministic asset pricing model is developed in which traders repeatedly choose between technical and fundamental analysis to determine their orders. The interaction between the trading rules produces complex dynamics. The model endogenously replicates the stylized facts of excess volatility, high trading volumes, shifts in the level of asset prices, and volatility clustering.
本文探讨投机交易。在实证观察的指导下，构建了一个非线性确定性资产定价模型，其中交易者在技术分析和基本面分析之间反复做出选择以确定其订单。交易规则之间的相互作用产生了复杂的动态变化。该模型内生性地复制了过度波动、高交易量、资产价格水平变动以及波动聚集等典型事实。
