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原文連結
論文資訊
- 類型：已發表論文
- 日期：2008
摘要
智能體-based models of financial markets usually make assumptions about 智能體's preferred stylized strategies. Empirical validations of these assumptions have not been performed so far on a full- market scale. Here we present a comprehensive study of the resulting strategies followed by the firms which are members of the Spanish Stock Exchange. We are able to show that they can be characterized by a resulting strategy and classified in three well-defined groups of firms. Firms of the first group have a change of inventory of the traded stock which is positively correlated with the synchronous stock return whereas firms of the second group show a negative correlation. Firms of the third group have an inventory variation uncorrelated with stock return. Firms tend to stay in the same group over th
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