Re: Brock's work

["Rosser Jr, John Barkley" <rosserjb@xxxxxxx>]

Trond,
     It is a theoretical model and it is in the reference I
gave at the end of my long disquisition on "chaoplexity and
institutions."  It is co-authored with Cars Hommes and is
in vol. 65, pp. 1059-1095 of _Econometrica_, "A Rational
Route to Randomness."  Brock has done some empirical work
with LeBaron and Lakonishock in the _Journal of Finance_
showing that some technical traders have beaten the random
walk.  That paper got a lot of press in the more popular
financial outlets.
Barkley Rosser
On Fri, 14 Aug 1998 18:14:21 +0200 Trond Andresen
<trond.andresen@xxxxxxxxxxx> wrote:

> Hi, David,
>
> At 16:55 11/08/98 -0400, you wrote on pkt:
>
> >....
> >...consider Brock's work where fundamental traders come in
> >when the market becomes too unstable--but if it becomes too stable, more
> >noise traders come in.
> >....
>
> Is it an empirical work, or does Brock have a model where this emerges? I
> ask because I have a stock market model where this property of market
> dynamics pops up as a side effect of the model, something I hadn't thought of
> incorporating beforehand.
>
> I would very much lik a reference on this article. Can you help me?
>
> Thanks beforehand,
>
> Trond
> --
> Trond Andresen <trond.andresen@xxxxxxxxxxx>
> http://www.itk.ntnu.no/ansatte/Andresen_Trond
>
> NOTE: I have left Sydney and am back in Norway again, at:
>
> The Norwegian University of Science and Technology
> Department of Engineering Cybernetics
> N-7034 Trondheim, NORWAY
>
> phone  +47-73-594358, --4376 (secr.). --4399 (fax)

--
Rosser Jr, John Barkley
rosserjb@xxxxxxx