Modeling Dynamic Trading by Momentum and Contrarian Strategies
Momentum strategy is that investors buy shares good performance previously, sell shares poor performance previously to obtain excess returns.Contrarian strategy is that investors sell shares good performance previously, buy shares poor performance previously to obtain excess returns.This article attempts to model the price by momentum and contrarian strategy, then, we observe the characteristics of simulated price.In this paper, we adopt the model in < A Structural Growth Model and its Application in Sraffas System > by Li Wu(2010), that is a dynamic exchange model.We distinguish the types of investors, simulate four cases, respectively: ① All contrarian traders in market; ② Dominated by contrarian traders in market; ③ Dominated by momentum traders in market; ④ All momentum traders in market.In the end of this article, we analyze the underlying causes of the simulation results and the significance to the securities market.
Momentum strategy Contrarian strategy The types of investors Dynamic modeling
Li Kun
Department of Finance, School of Economics, Shanghai University, Shanghai 200444
国际会议
The 5th Conference on Chinas Economic Operation Risk Management(2011`Shanghai)(第五届中国立信风险管理论坛)
上海
英文
96-101
2011-11-04（万方平台首次上网日期，不代表论文的发表时间）