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Can trend followers survive in the long-run? Insights from agent-based modeling (2008)
Book Chapter
He, X. Z., Hamill, P., & Li, Y. (2008). Can trend followers survive in the long-run? Insights from agent-based modeling. In A. Brabazon, & M. O'Neill (Eds.), Natural Computing in Computational Finance (253-269). Berlin, Heidelberg: Springer Verlag. https://doi.org/10.1007/978-3-540-77477-8_14

This chapter uses a simple stochastic market fraction (MF) asset pricing model to investigate market dominance, profitability, and how traders adopting fundamental analysis or trend following strategies can survive under various market conditions in... Read More about Can trend followers survive in the long-run? Insights from agent-based modeling.