Chartists, fundamentalists, and exchange rate fluctuations:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Aachen
Shaker-Verl.
2002
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | IV, 159, XII S. graph. Darst. |
| ISBN: | 3832207899 |
Internformat
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Datensatz im Suchindex
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| adam_text | BERICHTE AUS DER VOLKSWIRTSCHAFT FRANK WESTERHOFF CHARTISTS,
FUNDAMENTALISTS, AND EXCHANGE RATE FLUCTUATIONS SHAKER VERLAG AACHEN
2002 CONTENTS 1 INTRODUCTION 2 THE FOREIGN EXCHANGE MARKET 3 2.1
DESCRIPTION OF THE FOREIGN EXCHANGE MARKET 3 2.1.1 THE DATA SET 4 2.1.2
SOME STYLIZED FACTS 5 2.1.2.1 UNIT ROOTS 6 2.1.2.2 EXCESS VOLATILITY 6
2.1.2.3 FAT TAILS 7 2.1.2.4 MEAN REVERSION 11 2.1.2.5 VOLATILITY
CLUSTERING 12 2.1.2.6 BUBBLES 16 2.1.2.7 THE IMPACT OF NEWS 18 2.1.2.8
SPECULATIVE TRADING 19 2.1.2.9 TRADING RULES 20 2.1.2.10 CHAOS AND
NONLINEARITIES 21 2.1.2.11 SUMMARY 22 2.1.3 EXCURSUS: ON TECHNICAL
ANALYSIS 23 2.1.3.1 TECHNICAL TRADING RULES 24 2.1.3.1.1 THE PHILOSOPHY
OF TECHNICAL ANALYSIS 24 2.1.3.1.2 SOME GRAPHICAL TOOLS 25 2.1.3.1.3
SOME QUANTITATIVE TOOLS 28 2.1.3.2 THE POPULARITY OF TECHNICAL ANALYSIS
30 2.1.3.3 THE PROFITABILITY OF TECHNICAL ANALYSIS 31 2.1.3.4 SUMMARY 32
2.2 SURVEY OF THE LITERATURE 32 2.2.1 THE NOISE TRADER APPROACH 33
2.2.1.1 THE LIMITS OF ARBITRAGE ASSUMPTION 33 2.2.1.2 THE INVESTOR
SENTIMENT ASSUMPTION 35 2.2.1.3 THE IMPORTANCE OF NOISE TRADERS 37
2.2.1.4 RESULTS AND IMPLICATIONS 39 2.2.1.5 SUMMARY 40 2.2.2 CHARTISTS
AND FUNDAMENTALISTS 41 2.2.2.1 THE MODEL OF FRENKEL 42 2.2.2.2 THE MODEL
OF DAY AND HUANG 43 2.2.2.3 THE MODEL OF DE GRAUWE, DEWACHTER AND
EMBRECHTS 44 2.2.2.4 THE MODEL OF FRANKEL AND FROOT 46 2.2.2.5 THE MODEL
OF KIRMAN 48 2.2.2.6 THE MODEL OF BROCK AND HOMMES 49 2.2.2.7 THE MODEL
OF LUX 51 2.2.2.8 SUMMARY 53 2.2.3 AGENT-BASED COMPUTATION 54 2.2.3.1
BASIC ELEMENTS 54 2.2.3.2 THE MODEL OF THE SANTA FE INSTITUTE 55 2.2.3.3
SUMMARY 56 2.2.4 CONCLUSIONS 57 2.3 OUTLINE OF THE PROGRAM 58 3
SPECULATIVE BEHAVIOR AND EXCHANGE RATE DYNAMICS 59 3.1 INTRODUCTION 60
3.2 NONLINEAR EXCHANGE RATE DYNAMICS 61 3.3 THE PRQ-VERSION 63 3.3.1
SPECIFICATION 63 3.3.2 SIMULATION 65 3.3.3 QUANTIFYING THE DYNAMICS 67
3.3.4 SOME NONLINEAR PHENOMENA 73 3.4 THE GAS-VERSION 80 3.4.1
SPECIFICATION 80 3.4.2 SIMULATION 82 3.4.3 QUANTIFYING THE DYNAMICS 83
3.4.4 ROBUSTNESS OF THE DYNAMICS 86 3.5 CONCLUSIONS 88 3.A APPENDIX 90 3
.A. 1 SOME NOTES ON NONLINEAR TIME SERIES ANALYSIS 90 3.A.1.1 LYAPUNOV
EXPONENT 90 3 .A. 1.2 CORRELATION DIMENSION 91 3.A.2 SUMMARY OF ALL
VERSIONS 92 4 SPECULATIVE BEHAVIOR, EXCHANGE RATE VOLATILITY, AND
CENTRAL BANK 102 INTERVENTION 4.1 INTRODUCTION 103 4.2 A SIMPLE
NONLINEAR EXCHANGE RATE MODEL 105 4.2.1 SETUP OF THE MODEL 105 4.2.2
SIMULATIONS 108 4.3 THE EFFECTIVENESS OF CENTRAL BANK INTERVENTION 112
4.3.1 CENTRAL BANK INTERVENTION 112 4.3.2 STRATEGIES AND GOALS 114 4.3.3
SIMULATIONS 116 4.3.4 PERIODS OF HIGH UNCERTAINTY 120 4.3.5 SUPPORT OF
FUNDAMENTALISM 123 4.4 CONCLUSIONS 124 4.A APPENDIX 126 4.A. 1 A LOW
VOLATILITY REGIME AND REGRESSIVE EXPECTATIONS 126 4.A.2 A LOW VOLATILITY
REGIME AND ANCHOR EXPECTATIONS 127 5 EXPECTATIONS DRIVEN DISTORTIONS IN
THE FOREIGN EXCHANGE MARKET 128 5.1 INTRODUCTION 129 5.2 A SIMPLE
CHARTISTS-FUNDAMENTALISTS MODEL 130 5.2.1 SETUP OF THE MODEL 132 5.2.2
CALIBRATION 135 5.2.3 SNAPSHOT OF THE DYNAMICS 136 5.3 THE PERCEPTION OF
THE FUNDAMENTAL EXCHANGE RATE 141 5.3.1 PERCEPTION WITHOUT LEARNING 143
5.3.2 PERCEPTION WITH LEARNING 147 5.3.3 ANALYSIS OF DISTORTION 154 5.4
CONCLUSIONS 157 6 CONCLUDING REMARKS 158 REFERENCES
|
| any_adam_object | 1 |
| author | Westerhoff, Frank H. 1970- |
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| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| spelling | Westerhoff, Frank H. 1970- Verfasser (DE-588)121113116 aut Chartists, fundamentalists, and exchange rate fluctuations Frank Westerhoff Aachen Shaker-Verl. 2002 IV, 159, XII S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Zugl.: Osnabrück, Univ., Diss., 2002 Wechselkurspolitik (DE-588)4131291-0 gnd rswk-swf Markttechnische Analyse (DE-588)4261792-3 gnd rswk-swf Flexibler Wechselkurs (DE-588)4017520-0 gnd rswk-swf Mikrostrukturtheorie Kapitalmarkttheorie (DE-588)4508395-2 gnd rswk-swf Devisenmarkt (DE-588)4139011-8 gnd rswk-swf Monetäre Wechselkurstheorie (DE-588)4758072-0 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Monetäre Wechselkurstheorie (DE-588)4758072-0 s Flexibler Wechselkurs (DE-588)4017520-0 s Markttechnische Analyse (DE-588)4261792-3 s Devisenmarkt (DE-588)4139011-8 s Mikrostrukturtheorie Kapitalmarkttheorie (DE-588)4508395-2 s DE-604 Wechselkurspolitik (DE-588)4131291-0 s DE-188 GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010261952&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Westerhoff, Frank H. 1970- Chartists, fundamentalists, and exchange rate fluctuations Wechselkurspolitik (DE-588)4131291-0 gnd Markttechnische Analyse (DE-588)4261792-3 gnd Flexibler Wechselkurs (DE-588)4017520-0 gnd Mikrostrukturtheorie Kapitalmarkttheorie (DE-588)4508395-2 gnd Devisenmarkt (DE-588)4139011-8 gnd Monetäre Wechselkurstheorie (DE-588)4758072-0 gnd |
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| title | Chartists, fundamentalists, and exchange rate fluctuations |
| title_auth | Chartists, fundamentalists, and exchange rate fluctuations |
| title_exact_search | Chartists, fundamentalists, and exchange rate fluctuations |
| title_full | Chartists, fundamentalists, and exchange rate fluctuations Frank Westerhoff |
| title_fullStr | Chartists, fundamentalists, and exchange rate fluctuations Frank Westerhoff |
| title_full_unstemmed | Chartists, fundamentalists, and exchange rate fluctuations Frank Westerhoff |
| title_short | Chartists, fundamentalists, and exchange rate fluctuations |
| title_sort | chartists fundamentalists and exchange rate fluctuations |
| topic | Wechselkurspolitik (DE-588)4131291-0 gnd Markttechnische Analyse (DE-588)4261792-3 gnd Flexibler Wechselkurs (DE-588)4017520-0 gnd Mikrostrukturtheorie Kapitalmarkttheorie (DE-588)4508395-2 gnd Devisenmarkt (DE-588)4139011-8 gnd Monetäre Wechselkurstheorie (DE-588)4758072-0 gnd |
| topic_facet | Wechselkurspolitik Markttechnische Analyse Flexibler Wechselkurs Mikrostrukturtheorie Kapitalmarkttheorie Devisenmarkt Monetäre Wechselkurstheorie Hochschulschrift |
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