Simulating Security Markets in Dynamic and Equilibrium Modes

• Published in: Financial analysts journal Vol. 66; no. 5; pp. 42 - 53
• Main Authors: Jacobs, Bruce I., Levy, Kenneth N., Markowitz, Harry M.
• Format: Journal Article
• Language: English
• 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

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...