| 5 | Technical Trading Rule Performance in Local Main Stock Market Indices | 187 | ||
| 5.1 | Introduction | 187 | ||
| 5.2 | Data and summary statistics | 188 | ||
| 5.3 | Empirical results | 191 | ||
| 5.3.1 | Results for themean return criterion | 191 | ||
| 5.3.2 | Results for the Sharpe ratio criterion | 199 | ||
| 5.4 | A recursive out-of-sample forecasting approach | 202 | ||
| 5.5 | Conclusion | 205 | ||
| 5.6 | Comparing the US, Dutch and Other Stock Markets | 208 | ||
| Appendix | 211 | |||
| A. | Tables | 211 | ||
| 6 | An Evolutionary Adaptive Learning Model with Fundamentalists and Moving Average Traders | 237 | ||
| 6.1 | Introduction | 237 | ||
| 6.2 | The Brock-Hommes heterogeneous agents model | 239 | ||
| 6.3 | A modified heterogeneous agents asset pricing model | 244 | ||
| 6.3.1 | Utility-maximizing beliefs | 244 | ||
| 6.3.2 | Non-utility-maximizing beliefs: technical traders | 247 | ||
| 6.3.3 | Market equilibrium | 249 | ||
| 6.3.4 | A heterogeneous agents model with fundamentalists versus moving average traders | 254 | ||
| 6.3.5 | The dynamical system | 255 | ||
| 6.4 | Trading volume | 257 | ||
| 6.5 | Stability analysis | 258 | ||
| 6.5.1 | Steady state | 258 | ||
| 6.5.2 | Local stability of the steady state | 259 | ||
| 6.5.3 | Bifurcations | 260 | ||
| 6.6 | Numerical analysis | 264 | ||
| 6.6.1 | Lyapunov characteristic exponents | 264 | ||
| 6.6.2 | Parameter values | 266 | ||
| 6.6.3 | Model simulations | 267 | ||
| 6.7 | Conclusion | 270 | ||
| Appendix | 272 | |||
| A. | Figures | 272 | ||
xi