A Heterogeneous Agent Model of Asset Price with Three Time Delays

A Heterogeneous Agent Model of Asset Price with Three Time Delays

This paper considers a continuous-time heterogeneous agent model of a financial market with one risky asset, two types of agents (i.e., the fundamentalists and the chartists), and three time delays. The chartist’s demand is determined through a nonlinear function of the difference between the current price and a weighted moving average of the delayed prices whereas the fundamentalist’s demand i...

Analysis of a Heterogeneous Trader Model for Asset Price Dynamics

We examine an asset pricing model of Westerhoff 2005 . The model incorporates heterogeneous beliefs among traders, specifically fundamentalists and trend-chasing chartists. The form of the model is shown here to be a nonlinear planar map. Since it contains a single parameter, the model may be considered the simplest effective model yet derived for financial asset pricing with heterogeneous trad...

Design of a Model Based Compensator for MIMO Systems with Time Delays and Constrained Inputs

Design of a Model Based Compensator for MIMO Systems with Time Delays and Constrained Inputs

Heterogeneous Traders, Price-volume Signals, and Complex Asset Price Dynamics

We seek to develop a novel asset pricing model with heterogeneous traders. Fundamental traders expect that asset prices converge towards their intrinsic values, whereas chart traders rely on both price and volume signals to determine their orders. To be precise, the larger the trading volume, the more they believe in the persistence of the current price trend. Simulations of our nonlinear deter...