Heterogeneous Agents in Financial Markets PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Heterogeneous Agents in Financial Markets PDF full book. Access full book title Heterogeneous Agents in Financial Markets by Remco C.J. Zwinkels. Download full books in PDF and EPUB format.
Author: Remco C.J. Zwinkels
Publisher:
ISBN: 9789090237558
Category :
Languages : en
Pages : 0
Get Book Here
Book Description
Author: Remco C.J. Zwinkels
Publisher:
ISBN: 9789090237558
Category :
Languages : en
Pages : 0
Get Book Here
Book Description
Author: Rodolfo Guillermo Campos
Publisher:
ISBN:
Category : Financial institutions
Languages : en
Pages : 268
Get Book Here
Book Description
Author: Xuezhong He
Publisher:
ISBN:
Category :
Languages : en
Pages : 34
Get Book Here
Book Description
Studies on financial markets have accumulated consistent evidences of stylized facts and anomalies, which can be characterized by stochastic switching among different co-existing market states but yet difficult to reconcile with traditionally rational expectation theory. When agents are heterogeneous and boundedly rational, recent developments on the role of the adaptive behavior of interacting heterogeneous agents in financial markets have provided a nonlinear dynamics channel to such co-existence of different market states, shedding light into these stylized facts and anomalies. This survey focuses on the nonlinear dynamics approach to model the feedback of evolutionary dynamics of heterogeneous agents and to characterize the underlying mechanisms of the stylized facts and anomalies in financial markets, of which the authors and several coauthors have contributed in several papers.
Author:
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 79
Get Book Here
Book Description
Financial market has been extensively recognized as a complex system, where large number of heterogeneous agents contribute to price formation of asset. Interactions and adaptations of these agents form the core foundation of market operations and its resultant characteristic properties. These market agents are highly diverse in their perception of the world around them and in the way they respond to it. Various studies of statistical properties of financial markets and price fluctuations have revealed a rich set of typical characteristics knows as stylized facts. Agent-based models that can reproduce these stylized facts and explain the roots of complex dynamics of financial market have been subject of intense research in recent time. The Minority Game Model proposed by Challet and Zhang is one such model that presents a simplified paradigm of financial market. Another model proposed by Lux and Marchesi offers a different perspective to agent-based modeling, where parallels are drawn between the physical system with a large number of interacting units and financial markets. The Minority Game model succeeds to a certain extent in reproducing stylized facts and explaining behavioral foundation of it. However, in attempt to present a simplified picture of market scenario both these models make certain assumptions that dilute the heterogeneity aspect of the real market. In real world markets, agents are truly diverse in their thinking, strategy, action and analyzing ability. Due to these unrealistic assumptions, the model can be validated only with a very limited spectrum of parameters. Also, it's difficult to point out precisely which aspects of the game contribute to some of the stylized facts producible with the model. To improve on these issues, we have developed a model and a simulator based on modified minority game, which we are referring to as "adapted minority game." The main focus of our research is on improving the heterogeneity aspect of agents, their interactions, and bringing fundamental value of asset into the Minority Game model. Our model introduces fundamentalist agents into the minority game model and also allows agents to have different historical memory and time horizons. Furthermore, agents are free to switch from one trading strategy group to another to improve their chances of performing better. Reproducing the stylized facts still remains the benchmark for validating our model. Our adapted minority game succeeds to an extent in expanding the spectrum of parameters that can be used for modeling the market. Agents' interactions and adaptations have been tracked down to the basis of stylized facts. An interesting property of periodic volatility is successfully demonstrated with our model.
Author: Jakša Cvitanić
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Min Zheng
Publisher:
ISBN:
Category :
Languages : en
Pages : 29
Get Book Here
Book Description
During last decades, studies on asset pricing models witnessed a paradigm shift from rational expectation and representative agent to an alternative, behavioral view, where agents are heterogeneous and boundedly rational. In this paper, we model the financial market as an interaction of two types of boundedly rational investors -fundamentalists and chartists. We examine the dynamics of the market price and market behavior, which depend on investors' behavior and the interaction of the two types of investors. Numerical simulations of the corresponding stochastic model demonstrate that the model is able to replicate the stylized facts of financial time series, in particular the long-term dependence (long memory) of asset return volatilities. We further investigate the source of the long memory according to asset pricing mechanism of our model, and provide evidences of long memory by applying the modified R/S analysis. Our results demonstrate that the key parameter that has impact on the long memory is the speed of the price adjustment of the market maker at the equilibrium of demand and supply.
Author: Steven David Baker
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Get Book Here
Book Description
Author: Alessandro Caiani
Publisher: Springer
ISBN: 3319440586
Category : Business & Economics
Languages : en
Pages : 219
Get Book Here
Book Description
This book offers a practical guide to Agent Based economic modeling, adopting a “learning by doing” approach to help the reader master the fundamental tools needed to create and analyze Agent Based models. After providing them with a basic “toolkit” for Agent Based modeling, it present and discusses didactic models of real financial and economic systems in detail. While stressing the main features and advantages of the bottom-up perspective inherent to this approach, the book also highlights the logic and practical steps that characterize the model building procedure. A detailed description of the underlying codes, developed using R and C, is also provided. In addition, each didactic model is accompanied by exercises and applications designed to promote active learning on the part of the reader. Following the same approach, the book also presents several complementary tools required for the analysis and validation of the models, such as sensitivity experiments, calibration exercises, economic network and statistical distributions analysis. By the end of the book, the reader will have gained a deeper understanding of the Agent Based methodology and be prepared to use the fundamental techniques required to start developing their own economic models. Accordingly, “Economics with Heterogeneous Interacting Agents” will be of particular interest to graduate and postgraduate students, as well as to academic institutions and lecturers interested in including an overview of the AB approach to economic modeling in their courses.
Author: Jaksa Cvitanic
Publisher:
ISBN:
Category :
Languages : en
Pages : 53
Get Book Here
Book Description
This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion and in their time preference rate. We study the impact of investors heterogeneity on the properties of the equilibrium. In particular, we analyze the consumption shares, the market price of risk, the risk free rate, the bond prices at different maturities, the stock price and volatility as well as the stockís cumulative returns, and optimal portfolio strategies. We relate the heterogeneous economy with the family of associated homogeneous economies with only one class of investors. We consider cross sectional as well as asymptotic properties.
Author: Cars Hommes
Publisher: Elsevier
ISBN: 0444641327
Category : Business & Economics
Languages : en
Pages : 836
Get Book Here
Book Description
Handbook of Computational Economics: Heterogeneous Agent Modeling, Volume Four, focuses on heterogeneous agent models, emphasizing recent advances in macroeconomics (including DSGE), finance, empirical validation and experiments, networks and related applications. Capturing the advances made since the publication of Volume Two (Tesfatsion & Judd, 2006), it provides high-level literature with sections devoted to Macroeconomics, Finance, Empirical Validation and Experiments, Networks, and other applications, including Innovation Diffusion in Heterogeneous Populations, Market Design and Electricity Markets, and a final section on Perspectives on Heterogeneity. Helps readers fully understand the dynamic properties of realistically rendered economic systems Emphasizes detailed specifications of structural conditions, institutional arrangements and behavioral dispositions Provides broad assessments that can lead researchers to recognize new synergies and opportunities
