期刊
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
卷 382, 期 1, 页码 247-257出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.physa.2007.02.022
关键词
dynamic asset pricing; heterogeneous agents; complex dynamics; chaos; stock market dynamics
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. (C) 2007 Elsevier B.V. All rights reserved.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据