[FAM-news] Reminder: today's seminar

Victor Olevskii vit@fam.tuwien.ac.at
Tue, 4 Jul 2000 12:21:25 +0200


Financial and Actuarial Mathematics: Time Table (http://www.fam.tuwien.ac.at)

PV Schachermayer (Tuesday 16:30-18:00, TU FH, Turm A, 6.Stock, Seminarraum 107)

04.07.2000 :      Thorsten Rheinlaender

Momentum Traders and Instabilities of Financial Markets

There is empirical evidence that price processes of financial assets show
stylized facts like volatility clusters and large price movements not
accompanied by any dramatic news events. We discuss whether this observed
behavior can be explained by the activity of momentum traders. These are
agents which take past price movements as a signal for their investment
decisions in a trend-chasing fashion. This is joint work together with
Marcus Steinkamp, TU Berlin.