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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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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Abstract 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.
AbstractList 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.
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. [PUBLICATION ABSTRACT]
Author Levy, Kenneth N.
Markowitz, Harry M.
Jacobs, Bruce I.
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References Black Fischer (R1) 1992; 48
Levy Haim (R9) 1979; 69
Levy Moshe (R10) 1996; 52
Markowitz Harry M. (R12) 2005; 61
Jacobs Bruce I. (R2) 1999
Jacobs Bruce I. (R7) 2006; 62
Jacobs Bruce I. (R4) 2009; 65
Sharpe William F. (R15) 1963; 9
Jacobs Bruce I. (R3) 2004; 60
Jacobs Bruce I. (R6) 2005; 53
Merton Robert C. (R13) 1990
Tobin James (R16) 1958; 25
Michaud Richard O. (R14) 1998
Kim Gew-rae (R8) 1989; 16
Levy Moshe (R11) 2000
Jacobs Bruce I. (R5) 2004; 30
References_xml – volume-title: Continuous-Time Finance
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– volume: 65
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  publication-title: Financial Analysts Journal
  doi: 10.2469/faj.v65.n2.6
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  doi: 10.2469/faj.v48.n5.28
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  publication-title: Financial Analysts Journal
  doi: 10.2469/faj.v52.n3.1997
  contributor:
    fullname: Levy Moshe
– volume-title: Microscopic Simulation of Financial Markets: From Investor Behavior to Market Phenomena
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    fullname: Levy Moshe
– volume: 61
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  issue: 5
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  publication-title: Financial Analysts Journal
  doi: 10.2469/faj.v61.n5.2752
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  publication-title: Journal of Portfolio Management
  doi: 10.3905/jpm.2004.442640
  contributor:
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    fullname: Jacobs Bruce I.
– volume-title: Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation
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  publication-title: Financial Analysts Journal
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  contributor:
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  doi: 10.1287/mnsc.9.2.277
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  ident: R7
  publication-title: Financial Analysts Journal
  doi: 10.2469/faj.v62.n2.4082
  contributor:
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  start-page: 586
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  ident: R6
  publication-title: Operations Research
  doi: 10.1287/opre.1050.0212
  contributor:
    fullname: Jacobs Bruce I.
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SubjectTerms 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
Title Simulating Security Markets in Dynamic and Equilibrium Modes
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