Testing of a market fraction model and power-law behaviour in the DAX 30
(2015)
Journal Article
He, X. Z., & Li, Y. (2015). Testing of a market fraction model and power-law behaviour in the DAX 30. Journal of Empirical Finance, 31, 1-17. https://doi.org/10.1016/j.jempfin.2015.01.001
This paper tests a simple market fraction asset pricing model with heterogeneous agents. By selecting a set of structural parameters of the model through a systematic procedure, we show that the autocorrelations (of returns, absolute returns and squa... Read More about Testing of a market fraction model and power-law behaviour in the DAX 30.