Simulating Security Markets in Dynamic and Equilibrium Modes

An asynchronous discrete-time model run in "dynamic mode" can model the effects on market prices of changes in strategies, leverage, and regulations, or the effects of different return estimation procedures and different trading rules. Run in "equilibrium mode," it can be used to...

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Bibliographic Details
Published inFinancial analysts journal Vol. 66; no. 5; pp. 42 - 53
Main Authors Jacobs, Bruce I., Levy, Kenneth N., Markowitz, Harry M.
Format Journal Article
LanguageEnglish
Published Charlottesville CFA Institute 01.09.2010
Taylor & Francis Ltd
Subjects
Behavior
Brownian motion
Computer simulation
Equilibrium
Estimates
Expected returns
Financial analysis
Financial portfolios
Financial securities
Investment
Investment policy
Investors
Market analysis
Market equilibrium
Market prices
Modeling
PORTFOLIO MANAGEMENT
Price formation
Price momentum
Profitability
Regulation
Securities issues
Securities markets
Security portfolios
Security prices
Strategic studies
Studies
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Summary:An asynchronous discrete-time model run in "dynamic mode" can model the effects on market prices of changes in strategies, leverage, and regulations, or the effects of different return estimation procedures and different trading rules. Run in "equilibrium mode," it can be used to arrive at equilibrium expected returns.
Bibliography:ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
ISSN:0015-198X
1938-3312
DOI:10.2469/faj.v66.n5.7