Effect of mammalian sex hormones

Effect of mammalian sex hormone

The adaptiveness in stock markets: testing the stylized facts in the DAX 30

© 2017, Springer-Verlag Berlin Heidelberg. By testing a simple asset pricing model of heterogeneous agents to characterize the power-law behavior of the DAX 30 from 1975 to 2007, we provide supporting evidence on empirical findings that investors and fund managers use combinations of fixed and switching strategies based on fundamental and technical analysis when making investment decisions. A mechanism analysis based on the calibrated model provides a behavioral insight into the explanatory power of rational switching behavior of investors on the volatility clustering and long range dependence in return volatility

Estimation of Financial Agent-Based Models with Simulated Maximum Likelihood

This paper proposes a general computational framework for empirical estimation of financial agent based models, for which criterion functions do not have known analytical form. For this purpose, we adapt a nonparametric simulated maximum likelihood estimation based on kernel methods. Employing one of the most widely analysed heterogeneous agent models in the literature developed by Brock and Hommes (1998), we extensively test properties of the proposed estimator and its ability to recover parameters consistently and efficiently using simulations. Key empirical findings point us to the statistical insignificance of the switching coefficient but markedly significant belief parameters defining heterogeneous trading regimes with superiority of trend-following over contrarian strategies. In addition, we document slight proportional dominance of fundamentalists over trend following chartists in main world markets

Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?

Our paper reports on Monte Carlo experiments using Evans's data-generating process to gauge the performance of these two kinds of regime-switching tests.UNIT ROOTS;COINTEGRATION