Showing papers by "Blake LeBaron published in 2002"
TL;DR: In this paper, moving average based rules are used as specification tests on the process for foreign exchange rates and the results show that these simple models can not capture some aspects of the series studied, and the economic significance of the trading rule results are tested.
Abstract: This paper performs tests on several different foreign exchange series using a methodology inspired by technical trading rules. Moving average based rules are used as specification tests on the process for foreign exchange rates. Several models for regime shifts and persistent trends are simulated and compared with results from the actual series. The results show that these simple models can not capture some aspects of the series studied. Finally, the economic significance of the trading rule results are tested. Returns distributions from the trading rules are compared with returns on risk free assets and returns from the U.S. stock market. (This abstract was borrowed from another version of this item.)
108 citations
TL;DR: This article highlights several issues from simulating agent-based financial markets, and specifically the question of whether the trading behavior of short-memory agents could interfere with the learning process of the market as whole.
Abstract: This article highlights several issues from simulating agent-based financial markets. These all center around the issue of learning in a multiagent setting, and specifically the question of whether the trading behavior of short-memory agents could interfere with the learning process of the market as whole. It is shown in a simple example that short-memory traders persist in generating excess volatility and other features common to actual markets. Problems related to short-memory trader behavior can be eliminated by using several different methods. These are discussed along with their relevance to agent-based models in general.
68 citations