Work

Simulating Security Markets in Dynamic and Equilibrium Modes

Year: 2010

Type: article

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.

Source: Financial Analysts Journal

DOI: 10.2469/faj.v66.n5.7

Authors: Bruce I. Jacobs, Kenneth N. Levy, Harry M. Markowitz

Institution: Jacobs Levy Equity Management

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2139243238

FWCI: 1.672

Cites: 19

Cited by: 21

Related to: 10