A Wholistic Approach to Diversification Management: The Diversification Delta Strategy Applied to Non-Normal Return Distributions

2015 ◽  
Vol 48 (1) ◽  
pp. 89-119 ◽  
Author(s):  
Eduard Baitinger, ◽  
Iliya Kutsarov, ◽  
Thomas Maier, ◽  
Marcus Storr, ◽  
Tao Wan
Keyword(s):  
Return Distributions ◽  
Diversification Management

Expansion methods applied to asset return distributions

2007 ◽  
Vol 10 (2) ◽  
pp. 3-24 ◽  
Author(s):  
Kohei Marumo ◽  
Rodney Wolff
Keyword(s):  
Asset Return ◽  
Return Distributions

scholarly journals Market sentiment and heterogeneous agents in an evolutive financial model

2021 ◽  
Author(s):  
F. Cavalli ◽  
A. Naimzada ◽  
N. Pecora ◽  
M. Pireddu
Keyword(s):  
Time Series ◽  
Heterogeneous Agents ◽  
Financial Time Series ◽  
Financial Model ◽  
Agent Behavior ◽  
Market Sentiment ◽  
Evolutionary Selection ◽  
Animal Spirits ◽  
Return Distributions ◽  
Fundamental Value

AbstractWe study a financial market populated by heterogeneous agents, whose decisions are driven by “animal spirits”. Each agent may have either correct, optimistic or pessimistic beliefs about the fundamental value, which can change from time to time based on an evolutionary mechanism. The evolutionary selection of beliefs depends on a weighted evaluation of the general market sentiment perceived by the agents and on a profitability measure of the existent strategies. As the relevance given to the sentiment index increases, a herding phenomenon in agent behavior may occur and animal spirits can drive the market toward polarized economic regimes, which coexist and are characterized by persistent high or low levels of optimism and pessimism. This conduct is detectable from agents polarized shares and beliefs, which in turn influence the price level. Such polarized regimes can consist in stable steady states or can be characterized by endogenous dynamics, generating persistent alternating waves of optimism and pessimism, as well as return distributions displaying the typical features of financial time series, such as fat tails, excess volatility and multifractality. Moreover, we show that if the sentiment has no or low relevance on belief selection, those stylized facts are abated or are missing from the simulated time series.

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