Speculative dynamics and feedback trading A nonlinear model

نویسندگان

  • Massimiliano Giuli
  • Vincenzo Vespri
چکیده

We consider a market where a risky asset with a well defined fundamental value is traded. We have in our mind a future, whose fundamental value is its terminal value. In the market there are three groups of agents: feedback traders, fundamental traders and noise traders. Feedback traders base their strategy on the past evolution of the asset price. We consider only positive feedback traders who buy if the price has increased and sell if the price has decreased. Fundamental traders forecast the future asset price on the basis of the distance between the asset price and his fundamental value. They buy or sell the risky asset according to whether their forecasts of asset future returns are higher or lower than a required return. Finally, noise traders are pure noise in the market demand, buying or selling the risky asset only for their liquidity needs. Following [6] we omit dividends and interest rates. We define the cumulative rate of the excess demand for the asset at discrete time k as xk = nθ (ax (1) k + bx (2) k + cx (3) k )

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تاریخ انتشار 2006