Peffer Llacay 2004a - Revision history

Cinmemj: Cinmemj moved page Draft Samper 980396005 to Peffer Llacay 2004a

2018-03-19T11:33:53Z

Cinmemj moved page Draft Samper 980396005 to Peffer Llacay 2004a

Cinmemj at 11:31, 19 March 2018

2018-03-19T11:31:32Z

Cinmemj at 11:31, 19 March 2018

2018-03-19T11:31:03Z

Cinmemj at 11:30, 19 March 2018

2018-03-19T11:30:18Z

Cinmemj at 11:28, 19 March 2018

2018-03-19T11:28:19Z

Cinmemj at 11:25, 19 March 2018

2018-03-19T11:25:35Z

Cinmemj at 11:22, 19 March 2018

2018-03-19T11:22:33Z

Cinmemj at 11:20, 19 March 2018

2018-03-19T11:20:07Z

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Cinmemj at 10:19, 19 March 2018

2018-03-19T10:19:27Z

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Cinmemj at 11:20, 14 December 2016

2016-12-14T11:20:21Z

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 |  style="vertical-align: top;"|[[Image:draft_Samper_980396005-image164-c.png|center|600px]]
 <span style="text-align: center; font-size: 75%;">''Figure 5.20: Temporal and cross-sectional histograms of accumulated profit differences''</span>
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 |  style="vertical-align: top;"|[[Image:draft_Samper_980396005-image164-c.png|center|600px]]
-|-
-|  style="vertical-align: top;"|<span style="text-align: center; font-size: 75%;">''Figure 5.20: Temporal and cross-sectional histograms of accumulated profit differences''</span>
+<span style="text-align: center; font-size: 75%;">''Figure 5.20: Temporal and cross-sectional histograms of accumulated profit differences''</span>
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 {| style="width: 100%;margin: 1em auto 0.1em auto;"
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-|  colspan='2'  style="vertical-align: top;"|<span style="text-align: center; font-size: 75%;">
+|  style="vertical-align: top;"|
 [[Image:draft_Samper_980396005-image163-c.png|center|600px]]
 |-
-|  style="vertical-align: top;"|
+|  style="vertical-align: top;"|[[Image:draft_Samper_980396005-image164-c.png|center|600px]]
 |  style="vertical-align: top;"|<span style="text-align: center; font-size: 75%;">''Figure 5.20: Temporal and cross-sectional histograms of accumulated profit differences''</span>
 |}

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 |  style="border: 1pt solid black;text-align: center;"|Experiment
-|  style="border: 1pt solid black;text-align: center;width: 16%;width: 82%;"| [[Image:draft_Samper_980396005-image97.png|42px]]
+|  style="border: 1pt solid black;text-align: center;width: 16%;"| [[Image:draft_Samper_980396005-image97.png|42px]]
-|  style="border: 1pt solid black;text-align: center;width: 15%;"| [[Image:draft_Samper_980396005-image25.png|18px]]
+|  style="border: 1pt solid black;text-align: center;"| [[Image:draft_Samper_980396005-image25.png|18px]]
-|  style="border: 1pt solid black;text-align: center;width: 15%;"| [[Image:draft_Samper_980396005-image102.png|30px]]
+|  style="border: 1pt solid black;text-align: center;"| [[Image:draft_Samper_980396005-image102.png|30px]]
 |  style="border: 1pt solid black;text-align: center;"|<span style="text-align: center; font-size: 75%;">SRVT knows about ''VaR?''</span>
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-{| style="width: 79%;margin: 1em auto 0.1em auto;border-collapse: collapse;"
+{| style="width: 100%;margin: 1em auto 0.1em auto;border-collapse: collapse;"
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 |  style="border: 1pt solid black;text-align: center;"|Experiment
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 <span style="text-align: center; font-size: 75%;">''m'': moving-average window size; ''VaR'': agents using VaR position limits</span>
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+|  style="text-align: center;vertical-align: top;font-size:75%;"|
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 ''  Table 5.2: Parameter settings for case 2''
 |}

← Older revision	Revision as of 11:33, 19 March 2018
(No difference)

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-|  colspan='2'  style="vertical-align: top;"|<span style="text-align: center; font-size: 75%;">
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 </span>
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 |  style="vertical-align: top;"|<span style="text-align: center; font-size: 75%;">''Figure 5.5: Shortfall and excess clustering for IFs''</span>
 |}
 In a rising market, investment funds that have consistently believed that the asset is undervalued will have entered long positions, which in turn will have generated substantial profits for them, led to heightened confidence in their strategy and therefore contributed, through an increase in their capital factor, to even larger positions. Funds that on the other hand have, in the same rising scenario, believed that the asset is overvalued, will have entered a short position in the hope to make a profit when the prices return to their perceived valuation levels. In the meantime however, these funds will loose money and therefore reduce the capital they invest into the fundamental strategy. As shown for bond  [[Image:draft_Samper_980396005-image51.png|24px]] in figure 5.4, the influence of the longs in such an
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 |  style="vertical-align: top;"|<span style="text-align: center; font-size: 75%;">''Figure 5.7: IFs and RRVT capital factors and two individual paths''</span>
 |}
 ===5.1.2 Single RRVT, High Liquidity, and no VaR (E1.2)===

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 ==Abstract==
-The trading and investment decision processes in financial markets becomes ever more dependent on the use of valuation and risk models. In certain, cases such as risk management, modelling practice has become so homogeneous that one is led to ask about the effect this has on the price formation process. Furthermore, should stable price patterns emerge from this, can sophisticated investors who have private information about ''style="text-align: center; font-size: 75%;">''the use and characteristics of these models make superior gains? The aim of this article is to test this hypothesis in a stylised market environment, where a strategic trader who trades on information about the valuation and risk management models used by competitors. Resul''</span><span style="text-align: center; font-size: 75%;">''ts show that for our particular market setting, such a strategy has an advantage over those that do not use this information.
+The trading and investment decision processes in financial markets becomes ever more dependent on the use of valuation and risk models. In certain, cases such as risk management, modelling practice has become so homogeneous that one is led to ask about the effect this has on the price formation process. Furthermore, should stable price patterns emerge from this, can sophisticated investors who have private information about the use and characteristics of these models make superior gains? The aim of this article is to test this hypothesis in a stylised market environment, where a strategic trader who trades on information about the valuation and risk management models used by competitors. Results show that for our particular market setting, such a strategy has an advantage over those that do not use this information.
 '''Key words''': Financial markets, Multi-agent simulation, Performativity, Higher-order strategies