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
相关论文
共 50 条
  • [31] The Economic Adjustment Program for Portugal: assessing welfare impact in a heterogeneous-agent framework
    Miguel Viegas
    Ana Paula Ribeiro
    Portuguese Economic Journal, 2014, 13 : 53 - 70
  • [32] Life-cycle decisions and general equilibrium in the heterogeneous-agent OLG economy
    Lee, Hangsuck
    Ryu, Doojin
    Son, Jihoon
    APPLIED ECONOMICS, 2024, 56 (17) : 2089 - 2108
  • [33] The demand for life insurance in a heterogeneous-agent life cycle economy with joint decisions
    Wang, Ning
    GENEVA RISK AND INSURANCE REVIEW, 2019, 44 (02): : 176 - 206
  • [34] Using the Sequence-Space Jacobian to Solve and Estimate Heterogeneous-Agent Models
    Auclert, Adrien
    Bardoczy, Bence
    Rognlie, Matthew
    Straub, Ludwig
    ECONOMETRICA, 2021, 89 (05) : 2375 - 2408
  • [35] The demand for life insurance in a heterogeneous-agent life cycle economy with joint decisions
    Ning Wang
    The Geneva Risk and Insurance Review, 2019, 44 : 176 - 206
  • [36] Risk premiums and macroeconomic dynamics in a heterogeneous agent model
    De Graeve, Ferre
    Dossche, Maarten
    Emiris, Marina
    Sneessens, Henri
    Wouters, Raf
    JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2010, 34 (09): : 1680 - 1699
  • [37] A stochastic model for speculative dynamics
    Gadat, Sebastien
    Miclo, Laurent
    Panloup, Fabien
    ALEA-LATIN AMERICAN JOURNAL OF PROBABILITY AND MATHEMATICAL STATISTICS, 2015, 12 (01): : 491 - 532
  • [38] Tax and education policy in a heterogeneous-agent economy:: What levels of redistribution maximize growth and efficiency?
    Bénabou, R
    ECONOMETRICA, 2002, 70 (02) : 481 - 517
  • [39] Investors' behavior and dynamics of ship prices: A heterogeneous agent model
    Alizadeh, Amir H.
    Thanopoulou, Helen
    Yip, Tsz Leung
    TRANSPORTATION RESEARCH PART E-LOGISTICS AND TRANSPORTATION REVIEW, 2017, 106 : 98 - 114
  • [40] ANALYSIS OF AN OPTION MARKET DYNAMICS BASED ON A HETEROGENEOUS AGENT MODEL
    Kawakubo, Saki
    Izumi, Kiyoshi
    Yoshimura, Shinobu
    INTELLIGENT SYSTEMS IN ACCOUNTING FINANCE & MANAGEMENT, 2014, 21 (02): : 105 - 128
12345