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Friday, July 31, 2020 | History

2 edition of Speculative dynamics and the role of feedback traders found in the catalog.

Speculative dynamics and the role of feedback traders

David M. Cutler

Speculative dynamics and the role of feedback traders

by David M. Cutler

  • 190 Want to read
  • 19 Currently reading

Published by National Bureau of Economic Research in Cambridge, MA .
Written in English

    Subjects:
  • Profit -- Forecasting.,
  • Profit -- Forecasting -- Mathematical models.,
  • Speculation.,
  • Investment analysis.

  • Edition Notes

    StatementDavid M. Cutler, James M. Poterba, Lawrence H. Summers.
    SeriesNBER working paper series -- working paper no. 3243, Working paper series (National Bureau of Economic Research) -- working paper no. 3243
    ContributionsPoterba, James M., Summers, Lawrence H., National Bureau of Economic Research.
    The Physical Object
    Pagination12, [2] p. ;
    Number of Pages12
    ID Numbers
    Open LibraryOL22437006M

    higher overpricing in markets with traders who exhibited more speculative behavior in the individual SET. However, we find no such differences in overpricing when we test for alternative explanations, using a market environment introduced by Lei, Noussair, and Plott (Econometrica 69(4)–, ) where speculation is impossible.   Fig. 3(a) confirms the destabilizing role of λ: as we said above, for increasing values of λ, traders react more sensitively to the stock market performance and a larger fraction of them will opt for entering the market. This switching in the behaviour of traders is able to lead the price dynamics to deviate from the fundamental steady state.

    5 9. "The Market Value of Cash Dividends: The Citizens Utilities Case Reconsidered," Journal of Financial Economics 15 (), "A Tax Based Test of Nominal Rigidities," American Economic Review 76 (September ).   These results indicate that the number and impact of speculative traders varies through time and that in periods where specific groups of traders are more active the price dynamics change from a mean-reverting process (consistent with the real supply and demand for gold) to an explosive process. 1. Related literature.

      BookWatch Opinion: What investors should do if they think the stock market is in a bubble, according to the folks who wrote the book on bubbles Published: Aug. 7, at p.m. ET.   We analysed the dynamics in the speculative buying of the USD in the past months. We can see the actual bullish interest on the USD starting to abate after peaking in March.


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Speculative dynamics and the role of feedback traders by David M. Cutler Download PDF EPUB FB2

Get this from a library. Speculative dynamics and the role of feedback traders. [David M Cutler; James Poterba; Lawrence H Summers; National Bureau of Economic Research.].

Speculative Dynamics and the Role of Feedback Traders Article (PDF Available) in American Economic Review 80(2) January with Reads How we measure 'reads'. Speculative Dynamics and the Role of Feedback Traders David M.

Cutler, James M. Poterba, Lawrence H. Summers. NBER Working Paper No. (Also Reprint No. r) Issued in January NBER Program(s):Economic Fluctuations and Growth, Monetary Economics.

Speculative dynamics and the role of feedback traders. Cambridge, MA: National Bureau of Economic Research, [] (OCoLC) Material Type: Document, Internet resource: Document Type: Internet Resource, Computer File: All Authors / Contributors: David M Cutler; James M Poterba; Lawrence H Summers; National Bureau of Economic Research.

"Speculative Dynamics And The Role Of Feedback Traders," Working papersMassachusetts Institute of Technology (MIT), Department of Economics. David M. Cutler & James M. Poterba & Lawrence H. Summers, "Speculative Dynamics and the Role of Feedback Traders," NBER Working PapersNational Bureau of Economic Research, Inc.

Downloadable. This paper summarizes our earlier research documenting the characteristic speculative dynamics of many asset markets and suggests a framework for understanding them.

Our model incorporates "feedback traders," traders whose demand is based on the history of past returns rather than the expectation of future fundamentals. We use this framework to describe ways in which the. This paper summarizes our earlier research documenting the characteristic speculative dynamics of many asset markets and suggests a framework for understanding them.

Our model incorporates "feedback traders," traders whose demand is based on the history of past returns rather than the expectation of future fundamentals. We use this framework to describe ways in which the. Speculative dynamics and the role of feedback traders By David M. Cutler, James M.

Poterba and Lawrence H. Summers Publisher: Cambridge, Mass.: Department of Economics, Massachusetts Institute of. Speculative Dynamics and the Role of Feedback Traders By DAVID M.

CUTLER, JAMES M. POTERBA, AND LAWRENCE H. SUMMERS* The stock market crash demon-strated more convincingly than any econo-metric test ever could that not all move-ments in asset prices can be accounted for by news about fundamental values.

The ef. Speculative Dynamics and the Role of Feedback Traders. David Cutler (), James Poterba and Lawrence Summers. NoNBER Working Papers from National Bureau of Economic Research, Inc Abstract: This paper summarizes our earlier research documenting the characteristic speculative dynamics of many asset markets and suggests a framework for understanding them.

"Speculative Dynamics and the Role of Feedback Traders," NBER Working PapersNational Bureau of Economic Research, Inc. Culter, D.M. & Poterba, J.M. & Summers, L.H., "Speculative Dynamics And The Role Of Feedback Traders," Working papersMassachusetts Institute of Technology (MIT), Department of Economics.

Cutler, Poterba, and Summers (, ) formalized the role of feedback traders and presented evidences on the characteristic speculative dynamics of returns across markets. Frankel and Froot (, ) proposed the forecast models of chartists and fundamentalists in which portfolio managers place different weights on chartist and.

A 'read' is counted each time someone views a publication summary (such as the title, abstract, and list of authors), clicks on a figure, or views or downloads the full-text.

SPECULATIVE DYNAMICS AND THE ROLE OF FEEDBACK TRADERS David M. Cutler James M. Poterba Lawrence H. Summers Working Paper No. NATIONAL BUREAU OF ECONOMIC RESEARCH Massachusetts Avenue Cambridge, MA January We are grateful to Fischer Black and John Campbell for helpful comments, and to. Cutler, D.

M, J. Poterba and L. Summers (): Speculative Dynamics and the Role of Feedback Traders, American Economic Review, Papers and Proceedi 63–8. Google Scholar DeBondt, W. (): Betting on Trends: Intuitive Forecasts of Financial Risk and Return, International Journal of Forecasting 9, –   Traders may lever themselves, furthermore, either directly by borrowing short term or indirectly by engaging in futures and options trading, so that the scenario is relevant to contemporary financial markets.

When some shock pushes asset prices to a low enough level at which the margin constraint binds, traders are forced to liquidate assets. This paper investigates the liquidity and price discovery role of high frequency traders (HFTrs) in U.S. equity markets using data from NASDAQ and BATS duringand nformationisincorporated,thefundamentals traders will purchaseassets heldbytherationaltraders.

Returns will therefore be positivelyseriallycorrelated foras. Speculation is the purchase of an asset (a commodity, goods, or real estate) with the hope that it will become more valuable in the near finance, speculation is also the practice of engaging in risky financial transactions in an attempt to profit from short term fluctuations in the market value of a tradable financial instrument—rather than attempting to profit from the underlying.

Speculative Dynamics And The Role Of Feedback Traders. Article. Speculative Dynamics and the Role of Feedback Traders. This book presents. Blanchard and Watson: w Bubbles, Rational Expectations and Financial Markets: Cutler, Poterba, and Summers: w Speculative Dynamics and the Role of Feedback Traders: DeLong, Shleifer, Summers, and Waldmann: w The Survival of Noise Traders in Financial Markets: Hong and Stein: w A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets."Speculative Dynamics and the Role of Feedback Traders," American Economic Review 80 (May ), (with D.

Cutler and L. Summers) "An Aging Society: Challenge or Opportunity?," Brookings Papers on Economic Activity(with D. Cutler, L. Sheiner, and L. Summers). w Speculative Dynamics and the Role of Feedback Traders: Frankel and Froot: w The Dollar as Speculative Bubble: A Tale of Fundamentalists and Chartists: Poterba and Summers: w Mean Reversion in Stock Prices: Evidence and Implications.