SURVEY THE IMPACTS OF MOMENTUM INVESTORS ON STOCK MARKET BEHAVIOR BY AGENT BASED MODEL

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RAHNAMAYE ROODPOSHTI F.; SHIRAZIAN Z.

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Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2014 | Volume:5 | Issue:18 Page(s): 1-16

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Title

SURVEY THE IMPACTS OF MOMENTUM INVESTORS ON STOCK MARKET BEHAVIOR BY AGENT BASED MODEL

Author(s)

RAHNAMAYE ROODPOSHTI F. | SHIRAZIAN Z. | Issue Writer Certificate

Keywords

MOMENTUM INVESTORSQ2

RANDOM INVESTORSQ2

STOCK MARKET BEHAVIORQ2

AGENT BASED MODELQ2

Abstract

In this study we consider a population consisting of two types of agents: RANDOM INVESTORS and MOMENTUM INVESTORS, The RANDOM INVESTORS trade all the time randomly. The MOMENTUM INVESTORS implement an action threshold to assess the most recent movement in the price and decide on their actions which could be idle, buying or selling. The time series of a stock price generated by the model shows some of the well-known stylized facts observed in real markets, including volatility clustering, fat-tail in the returns, weak long term correlation and scaling behavior in the kurtosis. when real market data sets are analyzed by the model, it is found that: (a) the less efficiency of an emerging market provides more opportunity for the momentum strategy; and (b) the MOMENTUM INVESTORS respond to large fluctuations amounting to nearly three times the standard deviations in the returns generated by the RANDOM INVESTORS.

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APA: Copy

RAHNAMAYE ROODPOSHTI, F., & SHIRAZIAN, Z.. (2014). SURVEY THE IMPACTS OF MOMENTUM INVESTORS ON STOCK MARKET BEHAVIOR BY AGENT BASED MODEL. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 5(18), 1-16. SID. https://sid.ir/paper/197785/en

Vancouver: Copy

RAHNAMAYE ROODPOSHTI F., SHIRAZIAN Z.. SURVEY THE IMPACTS OF MOMENTUM INVESTORS ON STOCK MARKET BEHAVIOR BY AGENT BASED MODEL. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2014;5(18):1-16. Available from: https://sid.ir/paper/197785/en

IEEE: Copy

F. RAHNAMAYE ROODPOSHTI, and Z. SHIRAZIAN, “SURVEY THE IMPACTS OF MOMENTUM INVESTORS ON STOCK MARKET BEHAVIOR BY AGENT BASED MODEL,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 5, no. 18, pp. 1–16, 2014, [Online]. Available: https://sid.ir/paper/197785/en

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