英文标题：
《Co-existence of Trend and Value in Financial Markets: Estimating an
Extended Chiarella Model》
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作者：
Adam Majewski, Stefano Ciliberti and Jean-Philippe Bouchaud
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最新提交年份：
2018
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英文摘要：
Trend and Value are pervasive anomalies, common to all financial markets. We address the problem of their co-existence and interaction within the framework of Heterogeneous Agent Based Models (HABM). More specifically, we extend the Chiarella (1992) model by adding noise traders and a non-linear demand of fundamentalists. We use Bayesian filtering techniques to calibrate the model on time series of prices across a variety of asset classes since 1800. The fundamental value is an output of the calibration, and does not require the use of an external pricing model. Our extended model reproduces many empirical observations, including the non-monotonic relation between past trends and future returns. The destabilizing activity of trend-followers leads to a qualitative change of mispricing distribution, from unimodal to bimodal, meaning that some markets tend to be over- (or under-) valued for long periods of time.
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中文摘要：
趋势和价值是普遍存在的异常现象，所有金融市场都有。我们在基于异构代理的模型（HABM）的框架内解决了它们的共存和交互问题。更具体地说，我们通过添加噪音交易者和原教旨主义者的非线性需求来扩展Chiarella（1992）模型。我们使用贝叶斯过滤技术对1800年以来各种资产类别的价格时间序列模型进行校准。基本值是校准的输出，不需要使用外部定价模型。我们的扩展模型再现了许多经验观察结果，包括过去趋势和未来回报之间的非单调关系。趋势跟随者的不稳定活动导致了错误定价分布的质的变化，从单峰到双峰，这意味着一些市场在很长一段时间内往往估值过高（或过低）。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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