Modeling Financial Markets with Heterogeneous Agents

Modeling Financial Markets with Heterogeneous Agents Doctoral Dissertation

مدلی ساده برای توضیح پویایی شاخص کل قیمت بازار سهام تهران

Modeling price fluctuations in financial markets is very important. We try to model price fluctuations in Tehran stock exchange using heterogeneous agents’ model.  We used agent-based computational approach. In this model, there are two kinds of agents, some agents have extrapolating expectations (chartists) and others have stabilizing or mean-reverting expectations (fundamentalists)...

Belief Heterogeneity, Collateral Constraint, and Asset Prices with a Quantitative Assessment∗

The recent economic crisis highlights the role of financial markets in allowing economic agents, including prominent banks, to speculate on the future returns of different financial assets, such as mortgage-backed securities. This paper introduces a dynamic general equilibriummodel with aggregate shocks, endogeneously incomplete markets and heterogeneous agents to investigate this role of finan...

A new approach on studying the stability of evolutionary game dynamics for financial systems

‎Financial market modeling and prediction is a difficult problem and drastic changes of the price causes nonlinear dynamic that makes the price prediction one of the most challenging tasks for economists‎. ‎Since markets always have been interesting for traders‎, ‎many traders with various beliefs are highly active in a market‎. ‎The competition among two agents of traders‎, ‎namely trend follo...

Intermittent chaos in a model of financial markets with heterogeneous agents

In this paper we study the price dynamics in a simple model of financial markets with heterogeneous agents. We concentrate on how increases in the total number of active traders influences fluctuations of asset prices. We find that a curious route to chaos is observed when the total number of [active traders] increases. Particularly, we show that intermittent chaos [1] of price fluctuations is ...