An analysis of the effect of noise in a heterogeneous agent financial market model

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dc.contributor.author Chiarella, Carl en_US
dc.contributor.author He, Xuezhong en_US
dc.contributor.author Zheng, Min en_US
dc.contributor.editor en_US
dc.date.accessioned 2012-02-02T04:32:18Z
dc.date.available 2012-02-02T04:32:18Z
dc.date.issued 2011 en_US
dc.identifier 2009008216 en_US
dc.identifier.citation Chiarella Carl, He Xuezhong, and Zheng Min 2011, 'An analysis of the effect of noise in a heterogeneous agent financial market model', Elsevier Inc, vol. 35, no. 1, pp. 148-162. en_US
dc.identifier.issn 0165-1889 en_US
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/14538
dc.description.abstract Heterogeneousagentmodels(HAMs)infinanceandeconomicsareoftencharacterised by highdimensionalnonlinearstochasticdifferentialordifferencesystems.Becauseof thecomplexityoftheinteractionbetweenthenonlinearitiesandnoise,acommonly used,oftencalledindirect,approachtothestudyofHAMscombinestheoreticalanalysis of theunderlyingdeterministicskeletonwithnumericalanalysisofthestochastic model.However,itiswellknownthatthisindirectapproachmaynotproperly characterisethenatureofthestochasticmodel.Thispaperaimstotacklethisissueby developingadirectandanalyticalapproachtotheanalysisofastochasticmodelof speculativepricedynamicsinvolvingtwotypesofagents,fundamentalistsand chartists,andthemarketpriceequilibriaofwhichcanbecharacterisedbythe stationarymeasuresofastochasticdynamicalsystem.Usingthestochasticmethodof averagingandstochasticbifurcationtheory,weshowthatthestochasticmodeldisplays behaviourconsistentwiththatoftheunderlyingdeterministicmodelwhenthetimelag in theformationofpricetrendsusedbythechartistsisfarawayfromzero.However, whenthislagapproacheszero,suchconsistencybreaksdown. en_US
dc.language en_US
dc.publisher Elsevier Inc en_US
dc.relation.hasversion Accepted manuscript version en_US
dc.relation.isbasedon http://dx.doi.org/10.1016/j.jedc.2010.09.006 en_US
dc.rights NOTICE: this is the author’s version of a work that was accepted for publication in Journal of Economic Dynamics and Control. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Economic Dynamics and Control, [Volume 35, Issue 1, January 2011, Pages 148–162] DOI#” http://dx.doi.org/10.1016/j.jedc.2010.09.006 en_US
dc.title An analysis of the effect of noise in a heterogeneous agent financial market model en_US
dc.parent Journal of Economic Dynamics and Control en_US
dc.journal.volume 35 en_US
dc.journal.number 1 en_US
dc.publocation Amsterdam, Netherlands en_US
dc.identifier.startpage 148 en_US
dc.identifier.endpage 162 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 010205 en_US
dc.personcode 716350 en_US
dc.personcode 010238 en_US
dc.personcode 999047 en_US
dc.percentage 100 en_US
dc.classification.name Financial Mathematics en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords Heterogeneous agents, Speculative behaviour, Stochastic bifurcations, Stationary measures, Chartists en_US
dc.staffid en_US
dc.staffid 999047 en_US


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