 |
English
|
正體中文
|
简体中文
|
Post-Print筆數 : 27 |
Items with full text/Total items : 109952/140903 (78%)
Visitors : 46035445
Online Users : 1285
|
|
|
Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/60939
|
| Title: | Market Fraction Hypothesis: A Proposed Test |
| Authors: | Kampouridis,Michael;Chen,Shu-Heng;Tsang,Edward |
| Contributors: | 政大經濟系 |
| Keywords: | Market Fraction Hypothesis;Genetic Programming;Self-Organizing Feature Map;Time-Invariant Self-Organizing Feature Map;Agent-based financial model |
| Date: | 2012-06 |
| Issue Date: | 2013-09-16 17:27:25 (UTC+8) |
| Abstract: | This paper presents and formalizes the Market Fraction Hypothesis (MFH), and also tests it under empirical datasets. The MFH states that the fraction of the different types of trading strategies that exist in a financial market changes (swings) over time. However, while such swinging has been observed in several agent-based financial models, a common assumption of these models is that the trading strategy types are static and pre-specified. In addition, although the above swinging observation has been made in the past, it has never been formalized into a concrete hypothesis. In this paper, we formalize the MFH by presenting its main constituents. Formalizing the MFH is very important, since it has not happened before and because it allows us to formulate tests that examine the plausibility of this hypothesis. Testing the hypothesis is also important, because it can give us valuable information about the dynamics of the market`s microstructure. Our testing methodology follows a novel approach, where the trading strategies are neither static, nor pre-specified, as in the case in the traditional agent-based financial model literature. In order to do this, we use a new agent-based financial model which employs genetic programming as a rule-inference engine, and self-organizing maps as a clustering machine. We then run tests under 10 international markets and find that some parts of the hypothesis are not well-supported by the data. In fact, we find that while the swinging feature can be observed, it only happens among a few strategy types. Thus, even if many strategy types exist in a market, only a few of them can attract a high number of traders for long periods of time. |
| Relation: | International Review of Financial Analysis, 23, 41-54 |
| Data Type: | article |
| DOI 連結: | http://dx.doi.org/10.1016/j.irfa.2011.06.009 |
| DOI: | 10.1016/j.irfa.2011.06.009 |
| Appears in Collections: | [經濟學系] 期刊論文
|
Files in This Item:
| File |
Description |
Size | Format | |
|---|
| 4154.pdf | | 1783Kb | Adobe PDF2 | 1301 | View/Open |
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
著作權政策宣告 Copyright Announcement1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.
2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(
nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(
nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
