Do trend traders tame the chaos ? - Feedback provides stability .
نویسنده
چکیده
This paper concentrates on stability properties of heterogeneous agent models which include trend traders. So far, papers have only described the models’ behaviour in the very long run. I propose an explanation for the phenomenon that computer simulations of these models regularly converge if certain parameter constellations are used. In particular, insights of physics concerning time-delayed feedback control are fruitful for a deeper understanding of this event. I apply this theoretical knowledge about chaos control to the current model by De Grauwe and Grimaldi (2006) as an example. This paper shows that the way trend traders form their expectations serves as a feedback rule stabilising the system. Extrapolating trends from the past then tames the chaos in the model. JEL Classification: C63, F31
منابع مشابه
Effects of Third Person Perception and Information System on Stock Market Crash
Switching stock market trading strategies between price trading and trend following can be heavily affected by how one trader anticipates other traders’ behavior. This paper suggests an agent based model which allows agents to be under effect of third-person perception and to use external information system such as search engines and social network services which provide information on other tr...
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 کاملInvestigation and Control of Unstable Chaotic Behavior Using of Chaos Theory in Two Electrical Power Systems: 1-Buck Converter2- Power Transformer
This paper consist of two sections: control and stabilizing approach for chaotic behaviour of converter is introduced in first section of this paper for the removal of harmonic caused by the chaotic behaviour in current converter. For this work, a Time- Delayed Feedback Controller (TDFC) control method for stability chaotic behaviour of buck converter for switching courses in current control mo...
متن کاملFeedback analysis of speculation in a foreign currency market
This paper investigates the impact of speculative trading on foreign currency markets. A review of economic literature reveals that there is still no agreement to whether speculators amplify or tame fluctuations of exchange rates. Relevant system dynamics literature suggests that trading by speculators contributes to the formation of price bubbles. However, very few system dynamics papers exist...
متن کاملControl of a Chemical Reactor with Chaotic Dynamics
In this paper, control of a non-isothermal continuous stirred tank reactor in which two parallel autocatalytic reactions take place has been addressed. The reactor shows chaotic behavior for a certain set of reactor parameters. In order to control the product concentration, an optimal state feedback controller has been designed. Since concentrations of reactor species are ...
متن کامل