Financial Markets Equilibrium with Heterogeneous Agents PDF Download
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Author: Jakša Cvitanić
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Jakša Cvitanić
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Jaksa Cvitanic
Publisher:
ISBN:
Category :
Languages : en
Pages : 53
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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: Jinhui Bai
Publisher:
ISBN:
Category :
Languages : en
Pages : 264
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Author: Cars Hommes
Publisher: Elsevier
ISBN: 0444641327
Category : Business & Economics
Languages : en
Pages : 836
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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
Author: Min Zheng
Publisher:
ISBN:
Category :
Languages : en
Pages : 29
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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: Kenneth L. Judd
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 28
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Author: Andrew James Culham
Publisher:
ISBN:
Category :
Languages : en
Pages :
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ABSTRACT: The standard dynamic general equilibrium model of financial markets does a poor job of explaining the empirical facts observed in real market data. The common assumptions of homogeneous investors and rational expectations equilibrium are thought to be major factors leading to this poor performance. In an attempt to relax these assumptions, the literature has seen the emergence of agent-based computational models where artificial economies are populated with agents who trade in stylized asset markets. Although they offer a great deal of flexibility, the theoretical community has often criticized these agent-based models because the agents are too limited in their analytical abilities.
Author: Catherine Kyrtsou
Publisher: Routledge
ISBN: 042958394X
Category : Business & Economics
Languages : en
Pages : 273
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The book is motivated by the disruptions introduced by the financial crisis and the many attempts that have followed to propose new ideas and remedies. Assembling contributions by authors from a variety of backgrounds, this collection illustrates the potentials resulting from the marriage of financial economics, complexity theory and an out-of-equilibrium view of the economic world. Challenging the traditional hypotheses that lie behind financial market functioning, new evidence is provided about the hidden factors fuelling bubbles, the impact of agents’ heterogeneity, the importance of endogeneity in the information transmission mechanism, the dynamics of herding, the sources of volatility, the portfolio optimization techniques, the financial innovation and the trend identification in a nonlinear time-series framework. Presenting the advances made in financial market analysis, and putting emphasis on nonlinear dynamics, this book suggests interdisciplinary methodologies for the study of well-known stylised facts and financial abnormalities. This book was originally published as a special issue of The European Journal of Finance.
Author: Yuanying Guan
Publisher:
ISBN:
Category :
Languages : en
Pages : 104
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ABSTRACT: The standard Lucas asset pricing model makes two common assumptions of homogeneous agents and rational expectations equilibrium. However, these assumptions are unrealistic for real financial markets. In this work, we relax these assumptions and establish a Lucas type agent-based asset pricing model. We create an artificial economy with a single risky asset and populate it with heterogeneous, boundedly rational, utility maximizing, infinitely lived and forward looking agents. We restrict agents' information by allowing them to use only available information when they make optimal choices. With independent, identically distributed market returns, agents are able to compute their policy functions and the equilibrium pricing function with Duffie's method (Duffie, 1988) without perfect information about the market. When agents are out of equilibrium, they simultaneously compute their policy functions with predictive pricing functions and use adaptive learning schemes to learn the motion of the correct pricing function. Agents are able to learn the correct equilibrium pricing function with certain risk and learning parameters. In some other cases, the market price has excess volatility and the trading volume is very high. Simulations of the market behavior show rich dynamics, including a whole cascade from period doubling bifurcations to chaos. We apply the full families theory (De Melo and Van Strien, 1993) to prove that the rich dynamics do not come from numerical errors but are embedded in the structure of our dynamical system.
Author: Remco C. J. Zwinkels
Publisher:
ISBN: 9789090237558
Category :
Languages : en
Pages : 193
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