Download or read book Endogenous fluctuations in a simple asset pricing model with heterogeneous agents written by Andrea Gaunersdorfer and published by . This book was released on 1998 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Adaptive Beliefs and the Volatility of Asset Prices written by and published by . This book was released on 2000 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: I present a simple model of an evolutionary financial market with heterogeneous agents, based on the concept of adaptive belief systems introduced by Brock and Hommes (1997a). Agents choose between different forecast rules based on past performance, resulting in an evolutionary dynamics across predictor choice coupled to the equilibrium dynamics. The model generates endogenous price fluctuations with similar statistical properties as those observed in real return data, such as fat tails and volatility clustering. These similarities are demonstrated for data from the British, German, and Austrian stock market. (author's abstract).
Download or read book Asset Pricing Model with Heterogeneous Investment Horizons written by and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we study the dynamics of a simple asset pricing model describing the trading activity of heterogeneous agents in a "stylized" market. The economy in the model contains two assets: a bond with risk-less return and a dividend paying stock. The price of the stock is determined through market clearing condition. Traders are speculators described as expected utility maximizers with heterogeneous beliefs about future stock price and with heterogeneous estimation of risk. In particular, we consider traders who base their investment decision on different time horizons and we analyze the effect of these differences on the price dynamics. Under suitable parameterization, the stock no-arbitrage "fundamental" price can emerge as a stable fixed point of the model dynamics. For different parameterizations, however, the market shows cyclical or chaotic price dynamics with speculative bubbles and crashes. We find that the sole heterogeneity of agents with respect to their time horizons is not enough to guarantee the instability of the fundamental price and the emergence of non-trivial price dynamics. However, if different groups of agents are characterized by different trading behaviors, the introduction of heterogeneous investment horizons can help to decrease the stability region of the "fundamental" fixed point. The role of time horizons turns out to be different for different trade behaviors and, in general, depends on the whole ecology of agents' beliefs. We demonstrate this effect discussing a case in which the increase of fundamentalists time horizons can lead to cyclical or chaotic price behavior, while the same increase for the chartists helps to stabilize the fundamental price. -- Asset pricing ; Heterogenous beliefs ; Investment horizons
Download or read book Nonlinear Dynamics and Heterogeneous Interacting Agents written by Thomas Lux and published by Springer Science & Business Media. This book was released on 2005-02-11 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic application of nonlinear dynamics, microscopic agent-based modelling, and the use of artificial intelligence techniques as learning devices of boundedly rational actors are among the most exciting interdisciplinary ventures of economic theory over the past decade. This volume provides us with a most fascinating series of examples on "complexity in action" exemplifying the scope and explanatory power of these innovative approaches.
Download or read book Nonlinear Dynamical Systems in Economics written by Marji Lines and published by Springer Science & Business Media. This book was released on 2007-03-23 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many problems in theoretical economics are mathematically formalized as dynam ical systems of difference and differential equations. In recent years a truly open approach to studying the dynamical behavior of these models has begun to make its way into the mainstream. That is, economists formulate their hypotheses and study the dynamics of the resulting models rather than formulating the dynamics and studying hypotheses that could lead to models with such dynamics. This is a great progress over using linear models, or using nonlinear models with a linear approach, or even squeezing economic models into well-studied nonlinear systems from other fields. There are today a number of economic journals open to publishing this type of work and some of these have become important. There are several societies which have annual meetings on the subject and participation at these has been growing at a good rate. And of course there are methods and techniques avail able to a more general audience, as well as a greater availability of software for numerical and graphical analysis that makes this type of research even more excit ing. The lecturers for the Advanced School on Nonlinear Dynamical Systems in Economics, who represent a wide selection of the research areas to which the the ory has been applied, agree on the importance of simulations and computer-based analysis. The School emphasized computer applications of models and methods, and all contributors ran computer lab sessions.
Download or read book A Behavioral Approach to Asset Pricing written by Hersh Shefrin and published by Elsevier. This book was released on 2008-05-19 with total page 636 pages. Available in PDF, EPUB and Kindle. Book excerpt: Behavioral finance is the study of how psychology affects financial decision making and financial markets. It is increasingly becoming the common way of understanding investor behavior and stock market activity. Incorporating the latest research and theory, Shefrin offers both a strong theory and efficient empirical tools that address derivatives, fixed income securities, mean-variance efficient portfolios, and the market portfolio. The book provides a series of examples to illustrate the theory. The second edition continues the tradition of the first edition by being the one and only book to focus completely on how behavioral finance principles affect asset pricing, now with its theory deepened and enriched by a plethora of research since the first edition
Download or read book The Complex Dynamics of Economic Interaction written by Mauro Gallegati and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 404 pages. Available in PDF, EPUB and Kindle. Book excerpt: The economy is examined by the authors as a complex interactive system. The emphasis is on the direct interaction between agents rather than on the indirect and autonomous interaction through the market mechanism. Contributions from economists and physicists emphasise the consequences for aggregate behaviour of the interaction between agents with limited rationality. Models of financial markets which exhibit many of the stylised facts of empirical markets such as bubbles, herd behaviour and long memory are presented. This includes contributions on bargaining, buyer-seller relations, the evolution of economic networks and several aspects of macro-economic behaviour. This book will be of interest to all those interested in the foundations of collective social and economic behaviour and in particular, to those concerned with the dynamics of market behaviour and recent applications of physics to economics.
Download or read book Nonlinearity Bifurcation and Chaos written by Jan Awrejcewicz and published by BoD – Books on Demand. This book was released on 2012-10-24 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nonlinearity, Bifurcation and Chaos - Theory and Application is an edited book focused on introducing both theoretical and application oriented approaches in science and engineering. It contains 12 chapters, and is recommended for university teachers, scientists, researchers, engineers, as well as graduate and post-graduate students either working or interested in the field of nonlinearity, bifurcation and chaos.
Download or read book Handbook of Financial Markets Dynamics and Evolution written by Thorsten Hens and published by Elsevier. This book was released on 2009-06-12 with total page 607 pages. Available in PDF, EPUB and Kindle. Book excerpt: The models of portfolio selection and asset price dynamics in this volume seek to explain the market dynamics of asset prices. Presenting a range of analytical, empirical, and numerical techniques as well as several different modeling approaches, the authors depict the state of debate on the market selection hypothesis. By explicitly assuming the heterogeneity of investors, they present models that are descriptive and normative as well, making the volume useful for both finance theorists and financial practitioners. Explains the market dynamics of asset prices, offering insights about asset management approaches Assumes a heterogeneity of investors that yields descriptive and normative models of portfolio selections and asset pricing dynamics
Download or read book Complex Systems in Finance and Econometrics written by Robert A. Meyers and published by Springer Science & Business Media. This book was released on 2010-11-03 with total page 919 pages. Available in PDF, EPUB and Kindle. Book excerpt: Finance, Econometrics and System Dynamics presents an overview of the concepts and tools for analyzing complex systems in a wide range of fields. The text integrates complexity with deterministic equations and concepts from real world examples, and appeals to a broad audience.
Download or read book A time homogeneous stationary equilibrium model of asset pricing with heterogeneous agents written by George Vachadze and published by . This book was released on 1999 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Natural Computing in Computational Finance written by Anthony Brabazon and published by Springer Science & Business Media. This book was released on 2008-05-09 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: Natural Computing in Computational Finance is a innovative volume containing fifteen chapters which illustrate cutting-edge applications of natural computing or agent-based modeling in modern computational finance. Following an introductory chapter the book is organized into three sections. The first section deals with optimization applications of natural computing demonstrating the application of a broad range of algorithms including, genetic algorithms, differential evolution, evolution strategies, quantum-inspired evolutionary algorithms and bacterial foraging algorithms to multiple financial applications including portfolio optimization, fund allocation and asset pricing. The second section explores the use of natural computing methodologies such as genetic programming, neural network hybrids and fuzzy-evolutionary hybrids for model induction in order to construct market trading, credit scoring and market prediction systems. The final section illustrates a range of agent-based applications including the modeling of payment card and financial markets. Each chapter provides an introduction to the relevant natural computing methodology as well as providing a clear description of the financial application addressed. The book was written to be accessible to a wide audience and should be of interest to practitioners, academics and students, in the fields of both natural computing and finance.
Download or read book The Complex Networks of Economic Interactions written by Akira Namatame and published by Springer Science & Business Media. This book was released on 2006-03-09 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding the mechanism of a socio-economic system requires more than an understanding of the individuals that comprise the system. It also requires understanding how individuals interact with each other, and how the agg- gated outcome can be more than the sum of individual behaviors. This book contains the papers fostering the formation of an active multi-disciplinary community on socio-economic systems with the exciting new ?elds of age- based modeling and econophysics. We especially intend to increase the awareness of researchers in many ?elds with sharing the common view many economic and social activities as collectives of a large-scale heterogeneous and interacting agents. Economists seek to understand not only how individuals behave but also how the interaction of many individuals leads to complex outcomes. Age- based modeling is a method for studying socio-economic systems exhibiting the following two properties: (1) the system is composed of interacting agents, and (2) the system exhibits emergent properties, that is, properties arising from the interactions of the agents that cannot be deduced simply by agg- gating the properties of the system’s components. When the interaction of the agents is contingent on past experience, and especially when the agents continually adapt to that experience, mathematical analysis is typically very limited in its ability to derive the outcome.
Download or read book Rethinking Expectations written by Roman Frydman and published by Princeton University Press. This book was released on 2013-01-23 with total page 441 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book originated from a 2010 conference marking the fortieth anniversary of the publication of the landmark "Phelps volume," Microeconomic Foundations of Employment and Inflation Theory, a book that is often credited with pioneering the currently dominant approach to macroeconomic analysis. However, in their provocative introductory essay, Roman Frydman and Edmund Phelps argue that the vast majority of macroeconomic and finance models developed over the last four decades derailed, rather than built on, the Phelps volume's "microfoundations" approach. Whereas the contributors to the 1970 volume recognized the fundamental importance of according market participants' expectations an autonomous role, contemporary models rely on the rational expectations hypothesis (REH), which rules out such a role by design. The financial crisis that began in 2007, preceded by a spectacular boom and bust in asset prices that REH models implied could never happen, has spurred a quest for fresh approaches to macroeconomic analysis. While the alternatives to REH presented in Rethinking Expectations differ from the approach taken in the original Phelps volume, they are notable for returning to its major theme: understanding aggregate outcomes requires according expectations an autonomous role. In the introductory essay, Frydman and Phelps interpret the various efforts to reconstruct the field--some of which promise to chart its direction for decades to come. The contributors include Philippe Aghion, Sheila Dow, George W. Evans, Roger E. A. Farmer, Roman Frydman, Michael D. Goldberg, Roger Guesnerie, Seppo Honkapohja, Katarina Juselius, Enisse Kharroubi, Blake LeBaron, Edmund S. Phelps, John B. Taylor, Michael Woodford, and Gylfi Zoega.
Download or read book Heterogeneous Beliefs Risk and Learning in a Simple Asset Pricing Model written by Carl Chiarella and published by . This book was released on 1999 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Network Theory and Agent Based Modeling in Economics and Finance written by Anindya S. Chakrabarti and published by Springer Nature. This book was released on 2019-10-23 with total page 458 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the latest findings on network theory and agent-based modeling of economic and financial phenomena. In this context, the economy is depicted as a complex system consisting of heterogeneous agents that interact through evolving networks; the aggregate behavior of the economy arises out of billions of small-scale interactions that take place via countless economic agents. The book focuses on analytical modeling, and on the econometric and statistical analysis of the properties emerging from microscopic interactions. In particular, it highlights the latest empirical and theoretical advances, helping readers understand economic and financial networks, as well as new work on modeling behavior using rich, agent-based frameworks. Innovatively, the book combines observational and theoretical insights in the form of networks and agent-based models, both of which have proved to be extremely valuable in understanding non-linear and evolving complex systems. Given its scope, the book will capture the interest of graduate students and researchers from various disciplines (e.g. economics, computer science, physics, and applied mathematics) whose work involves the domain of complexity theory.
Download or read book Unifying Themes in Complex Systems IX written by Alfredo J. Morales and published by Springer. This book was released on 2018-07-23 with total page 529 pages. Available in PDF, EPUB and Kindle. Book excerpt: Unifying Themes in Complex Systems is a well-established series of carefully edited conference proceedings that serve to document and archive the progress made regarding cross-fertilization in this field. The International Conference on Complex Systems (ICCS) creates a unique atmosphere for scientists from all fields, engineers, physicians, executives, and a host of other professionals, allowing them to explore common themes and applications of complex systems science. With this new volume, Unifying Themes in Complex Systems continues to establish common ground between the wide-ranging domains of complex systems science.
