A Dynamic Analysis of Moving Average Rules
By Carl Chiarella, Xue-zhong He, Cars H. Hommes. 2006
131 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/fa212ff40ce5b4b83dda85bb3b363d8f966888e5
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In Economics and Econometrics
In Management Science and Operations Research
Citations in the corpus
- Can Deep Learning Techniques Improve the Risk Adjusted Returns from Enhanced Indexing Investment Strategies (2017, background): “On a related note Chiarella et al. (2006b) demonstrate in another paper that the use of moving averages combined with market noise generates instability causing prices to deviate from fundamentals for lengthy periods.”
- Time-varying beta: a boundedly rational equilibrium approach (2010, unknown): “7See, for example, Day and Huang (1990), Kirman (1992), Farmer et al. (2004), Lux (2004), Chiarella et al.”
- Econophysics: Empirical facts and agent-based models (2009, unknown): “Chaos theory has had some impact in Economics modelling, e.g. in the work by Brock and Hommes (1998) or Chiarella et al. (2006).”