کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
979598 933371 2007 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Asset price dynamics in a financial market with heterogeneous trading strategies and time delays
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Asset price dynamics in a financial market with heterogeneous trading strategies and time delays
چکیده انگلیسی

In this paper we present a continuous time dynamical model of heterogeneous agents interacting in a financial market where transactions are cleared by a market maker. The market is composed of fundamentalist, trend following and contrarian agents who process market information with different time delays. Each class of investors is characterized by path dependent risk aversion. We also allow for the possibility of evolutionary switching between trend following and contrarian strategies. We find that the system shows periodic, quasi-periodic and chaotic dynamics as well as synchronization between technical traders. Furthermore, the model is able to generate time series of returns that exhibit statistical properties similar to those of the S&P 500 index, which is characterized by excess kurtosis, volatility clustering and long memory.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 382, Issue 1, 1 August 2007, Pages 247–257
نویسندگان
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