Coexisting Attractors in a Heterogeneous Agent Model in Discrete Time

نویسندگان

چکیده

In this paper, the discrete-time version of a continuous-time model with fundamentalists and momentum traders is presented. Our aim consists studying impact cross-sectional on dynamics model. To end, deterministic skeleton benchmark transformed using sophisticated discretization techniques. It worth noting that does not always maintain same characteristics after moving from continuous to discrete time. spite this, our system preserves dynamic properties original Moreover, heterogeneity introduces an important non-linearity into market dynamics, causing financial generate erratic time series similar patterns observed in real markets. particular, we show originated by perturbed capture some main stylized facts U.S. market. Converting allows use data available

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ژورنال

عنوان ژورنال: Mathematics

سال: 2023

ISSN: ['2227-7390']

DOI: https://doi.org/10.3390/math11102348