SIMPLE AGENT-BASED FINANCIAL MARKET MODEL WITH PLAYERS HAVING THE SAME MARKET EXPECTATIONS

Prices, Debt and Market Structure in an Agent-Based Model of the Financial Market

We develop an agent-based model in which heterogenous and boundedly rational agents interact by trading a risky asset at an endogenously set price. Agents are endowed with balance sheets comprising the risky asset as well as cash on the asset side and equity capital as well as debt on the liabilities side. The introduction of balance sheets and debt into an agent-based setup is relatively new t...

Agent-based simulation of a financial market

This paper introduces an agent-based artificial financial market in which heterogeneous agents trade one single asset through a realistic trading mechanism for price formation. Agents are initially endowed with a finite amount of cash and a given finite portfolio of assets. There is no money-creation process; the total available cash is conserved in time. In each period, agents make random buy ...

Consumer Attitudes, Expectations, and Financial Market Participation

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...

The Impact of Financial Market Fluctuations on Financial Instability in the Iranian Economy: The Wavelet based Markov Switching Model

In this study, the effect of fluctuations of asset markets (exchange rate, oil price and stock market index) on financial instability index over a period of 1388-1397 monthly is investigated by using the Markov Switching model. The wavelet transform model is used to extract exchange rate fluctuations, oil prices and stock market index. The results show that the effect of exchange rate fluctuati...