Heterogeneous agent model with memory and asset price behaviour
نویسندگان
چکیده
منابع مشابه
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...
متن کاملSpeculative behaviour and complex asset price dynamics
This paper analyses the dynamics of a model of a share market consisting of two groups of traders: fundamentalists, who form rational expectations on the fundamental value of the asset, and chartists, who base their trading decisions on an analysis of past price trends. The model is reduced to a two-dimensional map whose dynamic behaviour is analysed in detail, particularly with respect to glob...
متن کاملAnalysis 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...
متن کاملHeterogeneous 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...
متن کاملCollateral Shortages, Asset Price and Investment Volatility with Heterogeneous Beliefs∗
The recent economic crisis highlights the role of financial markets in allowing economic agents, including prominent banks, to speculate on the future returns of different financial assets, such as mortgage-backed securities. This paper introduces a dynamic general equilibrium model with aggregate shocks, potentially incomplete markets and heterogeneous agents to investigate this role of financ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Prague Economic Papers
سال: 2003
ISSN: 1210-0455,2336-730X
DOI: 10.18267/j.pep.212