Speculative dynamics in a heterogeneous-agent model

被引：0
|
作者：
Kaizoji, T [1 ]
机构：
[1] Univ Kiel, Dept Econ, D-24118 Kiel, Germany
来源：
ARTIFICIAL NEURAL NETWORKS-ICANN 2001, PROCEEDINGS | 2001年 / 2130卷
关键词：
D O I：
暂无
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
This paper proposes a model of a stock market which is composed of three different types of traders: fundamentalists, chartists, and noise traders. We investigate the speculative price dynamics though the simulation, and show that a non-stationary chaos that is considered as speculative bubble is caused by the heterogeneity of traders' strategies, and furthermore that the distributions of stock returns generated from our heterogeneous agent model have the fat tails which is a stylized fact observed in almost all the financial markets.
引用
收藏
页码：775 / 781
页数：7
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