Trading model and asset price forecast: A discrete event approach.
Item
-
Title
-
Trading model and asset price forecast: A discrete event approach.
-
Identifier
-
AAI9820553
-
identifier
-
9820553
-
Creator
-
Li, Li.
-
Contributor
-
Adviser: Salih Neftci
-
Date
-
1998
-
Language
-
English
-
Publisher
-
City University of New York.
-
Subject
-
Economics, Finance
-
Abstract
-
This paper is an attempt to understand the trading market dynamics and the investment forecast processes.;The market trading activity is modeled as a Markovian process, where traders change their opinions which cause the buy/sell actions that drive the price movements. Based on this model, we investigate a series of complex phenomenon in asset markets, such as the turning points, the volume behaviors, and the collective behavior (the opinion polarization) through the information externalities.;This paper also develops certain types of empirical testing. The difficulties in financial forecasting can be partially overcome by making discrete, directional estimations. This leads to the discrete event approach. Computer programs have been designed to study the portfolio performance distributions, which is useful in investigating the probability behaviors of trading rules. Another tool, the polynomial approximation, is used to understand the empirical characteristics of the "break-up" patterns.;The approach presented here depends on some very loose assumptions. It is also very easy to program with computer, therefore it is highly applicable.
-
Type
-
dissertation
-
Source
-
PQT Legacy CUNY.xlsx
-
degree
-
Ph.D.
