Commodity price dynamics and the nonlinear market impact of technical traders: empirical evidence for the US corn market

被引：33

作者：

Westerhoff, F

Reitz, S

机构：

[1] Univ Osnabruck, Dept Econ, D-49069 Osnabruck, Germany

[2] Brandeis Univ, Inst Business Sch, Waltham, MA 02454 USA

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2005年 / 349卷 / 3-4期

关键词：

commodity markets; econophysics; technical and fundamental analysis; nonlinearities; STAR-GARCH approach;

D O I：

10.1016/j.physa.2004.11.015

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

We develop a simple model with technical and fundamental traders to explain the cyclical motion of commodity prices. The crucial element of our model is a nonlinear market impact of technical traders: Estimation of our STAR-GARCH model using monthly US corn price data reveals that technical traders increasingly enter the market as booms or slumps enlarge. One reason may be that they only gradually learn about the emergence of persistent price trends. The behavior of trend-extrapolating speculators obviously enforces mispricings and thus contributes to cyclical motion as observed in actual commodity markets. (C) 2004 Elsevier B.V. All rights reserved.

引用

页码：641 / 648

页数：8

共 30 条

[1]

[Anonymous], 291 WP STOCKH SCH EC

[2] An introduction to statistical finance [J].