کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5098914 | 1376969 | 2010 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Financial crises and interacting heterogeneous agents
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
In this paper we examine various types of financial crises and conjecture their underlying mechanisms using a deterministic heterogeneous agent model (HAM). In a market-maker framework, forward-looking investors update their price expectations according to psychological trading windows and cluster themselves strategically to optimize their expected profits. The switches between trading strategies lead to price dynamics in market that subsequently move price up and down, and in the extreme case, cause financial crises. The model suggests that both fundamentalists and chartists could potentially contribute to the financial crises.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 34, Issue 6, June 2010, Pages 1105-1122
Journal: Journal of Economic Dynamics and Control - Volume 34, Issue 6, June 2010, Pages 1105-1122
نویسندگان
Weihong Huang, Huanhuan Zheng, Wai-Mun Chia,