A Simple Financial Market Model with Heterogeneous Speculators: 2-dimensional Discontinuous System

A behavioral cobweb-like commodity market model with heterogeneous speculators

a r t i c l e i n f o According to empirical studies, speculators place significant orders in commodity markets and may cause bubbles and crashes. This paper develops a cobweb-like commodity market model that takes into account the behavior of technical and fundamental speculators. We show that interactions between consumers, producers and heterogeneous speculators may produce price dynamics wh...

Heterogeneous Speculators and Asset Price Dynamics: Further Results from a One-Dimensional Discontinuous Piecewise-Linear Map

In this paper we continue exploring a recently introduced financial market model in which boundedly rational agents follow technical and fundamental trading rules to determine their orders. Amongst other things, our model reveals that interactions between heterogeneous speculators can generate interesting boom-bust cycles. In addition, we provide an extensive analytical treatment of the model’s...

Estimating heterogeneous agents behavior in a two - market financial system

A simple financial market model with chartists and fundamentalists: Market entry levels and discontinuities

We present a simple …nancial market model with interacting chartists and fundamentalists. Since some of these speculators only become active when a certain misalignment level has been crossed, the dynamics are driven by a discontinuous piecewise linear map. The model endogenously generates bubbles and crashes and excess volatility for a broad range of parameter values – and thus explains some k...

Simulation of Heterogeneous Financial Market Model Based on Cellular Automaton

In recent years, researchers analyzed the historical data from the financial markets. They found that the statistical result is different from the classical financial theories, models, and methods. The difference is challenging the three hypotheses which are rational people hypothesis, efficient market hypothesis and random walk hypothesis. We need new perspective and tools to re-study the fina...