@inproceedings{db9a471f0bb541deab89460960e9100e,
title = "An empirical heterogeneous trading strategy model in the Shanghai stock market of China",
abstract = "In this paper, we study an order-driven stock market where agents have heterogeneous estimates of the fundamental value of the risky asset. The agents are budget-constrained. Their value-based trading strategy in which buys or sells depend on whether the price of the asset is below or above its risk-adjusted fundamental value. We assume that investors' optimal demand for the risky asset depends on wealth, as a result of CRRA utility. We adopt PE and turnover to study fundamentalism and characteristics on cross-sectional earnings impact. The empirical results show that: fundamentalist trading strategy and chartist trading strategy for different combinations have different effects. In China, fat tails and a leptokurtic shape of the return distribution is the fundamentalist trading strategy and chartist trading strategy of the common effects.",
keywords = "Component, Formatting, Insert, Style, Styling",
author = "Yanhong Wang and Shancun Liu",
year = "2011",
doi = "10.1109/MSIE.2011.5707702",
language = "英语",
isbn = "9781424483853",
series = "2011 International Conference on Management Science and Industrial Engineering, MSIE 2011",
pages = "227--230",
booktitle = "2011 International Conference on Management Science and Industrial Engineering, MSIE 2011",
note = "2011 International Conference on Management Science and Industrial Engineering, MSIE 2011 ; Conference date: 08-01-2011 Through 11-01-2011",
}