Citing this article

A standard form of citation of this article is:

Peffer, Gilbert and Llacay, B&agrave;rbara (2007). 'Higher-Order Simulations: Strategic Investment Under Model-Induced Price Patterns'. Journal of Artificial Societies and Social Simulation 10(2)6 <http://jasss.soc.surrey.ac.uk/10/2/6.html>.

The following can be copied and pasted into a Bibtex bibliography file, for use with the LaTeX text processor:

@article{peffer2007,
title = {Higher-Order Simulations: Strategic Investment Under Model-Induced Price Patterns},
author = {Peffer, Gilbert and Llacay, B\\`{a}rbara},
journal = {Journal of Artificial Societies and Social Simulation},
ISSN = {1460-7425},
volume = {10},
number = {2},
pages = {6},
year = {2007},
URL = {http://jasss.soc.surrey.ac.uk/10/2/6.html},
keywords = {Financial Markets, Multi-Agent Simulation, Performativity, Higher-Order Strategies},
abstract = {The trading and investment decision processes in financial markets become ever more dependent on the use of valuation and risk models. In the case of risk management for instance, modelling practice has become quite homogeneous and the question arises as to the effect this has on the price formation process. Furthermore, sophisticated investors who have private information about the use and characteristics of these models might be able to make superior gains in such an environment. The aim of this article is to test this hypothesis in a stylised market, where a strategic investor trades on information about the valuation and risk management models used by other market participants. Simulation results show that under certain market conditions, such a 'higher-order' strategy generates higher profits than standard fundamental and momentum strategies that do not draw on information about model use.},
}

The following can be copied and pasted into a text file, which can then be imported into a reference database that supports imports using the RIS format, such as Reference Manager and EndNote.


TY - JOUR
TI - Higher-Order Simulations: Strategic Investment Under Model-Induced Price Patterns
AU - Peffer, Gilbert
AU - Llacay, B&agrave;rbara
Y1 - 2007/03/31
JO - Journal of Artificial Societies and Social Simulation
SN - 1460-7425
VL - 10
IS - 2
SP - 6
UR - http://jasss.soc.surrey.ac.uk/10/2/6.html
KW - Financial Markets
KW - Multi-Agent Simulation
KW - Performativity
KW - Higher-Order Strategies
N2 - The trading and investment decision processes in financial markets become ever more dependent on the use of valuation and risk models. In the case of risk management for instance, modelling practice has become quite homogeneous and the question arises as to the effect this has on the price formation process. Furthermore, sophisticated investors who have private information about the use and characteristics of these models might be able to make superior gains in such an environment. The aim of this article is to test this hypothesis in a stylised market, where a strategic investor trades on information about the valuation and risk management models used by other market participants. Simulation results show that under certain market conditions, such a 'higher-order' strategy generates higher profits than standard fundamental and momentum strategies that do not draw on information about model use.
ER -