Search Results - subject:"heterogeneous agent"

More memory under evolutionary learning may lead to chaos

Diks, Cees; Hommes, Cars; Zeppini, Paolo - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 4, pp. 808-812

We show that an increase of memory of past strategy performance in a simple agent-based innovation model, with agents switching between costly innovation and cheap imitation, can be quantitatively stabilising while at the same time qualitatively destabilising. As memory in the fitness measure...

Persistent link: https://www.econbiz.de/10010872804

Carry trade and foreign exchange rate puzzles

Spronk, Richard; Verschoor, Willem F.C.; Zwinkels, … - In: European Economic Review 60 (2013) C, pp. 17-31

carry traders in a heterogeneous agent model in addition to fundamentalists and chartists. Our model has the ability to …

Persistent link: https://www.econbiz.de/10010664368

The Dutch experience: Assessing the welfare impacts of two consolidation strategies using a heterogeneous-agent framework

Viegas, Miguel; Ribeiro, Ana Paula - In: Economic Modelling 32 (2013) C, pp. 351-360

equilibrium model with heterogeneous-agent capable of exploring the relationship between fiscal policy variables and the …

Persistent link: https://www.econbiz.de/10010664383

Exchange rate expectations of chartists and fundamentalists

Dick, Christian D.; Menkhoff, Lukas - In: Journal of Economic Dynamics and Control 37 (2013) 7, pp. 1362-1383

This paper provides novel evidence on exchange rate expectations of both chartists and fundamentalists separately. These groups indeed form expectations differently. Chartists change their expectations more often; however, all professionals' expectations vary considerably as they generally...

Persistent link: https://www.econbiz.de/10010664663

Behavioural breaks in the heterogeneous agent model: The impact of herding, overconfidence, and market sentiment

Kukacka, Jiri; Barunik, Jozef - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 23, pp. 5920-5938

The main aim of this work is to incorporate selected findings from behavioural finance into a Heterogeneous Agent Model … analysis using the Heterogeneous Agent Model extended with the selected findings from behavioural finance: herding …, overconfidence, and market sentiment. We show that these behavioural breaks can be well modelled via the Heterogeneous Agent Model …

Persistent link: https://www.econbiz.de/10010703190

Wavelet Applications to Heterogeneous Agents Model

Vošvrda, Miloslav; Vácha, Lukáš - Institut ekonomických studií, Univerzita Karlova v Praze - 2006

A heterogeneous agent model with the WOA was considered for obtaining more realistic market conditions. The WOA …

Persistent link: https://www.econbiz.de/10005067754

Heterogeneous Agents Model with the Worst Out Algorithm

Vošvrda, Miloslav; Vácha, Lukáš - Institut ekonomických studií, Univerzita Karlova v Praze - 2005

Heterogeneous agents' model with the stochastic beliefs formation is considered. Fundamentalists rely on their model employing fundamental information basis to forecast the next price period. Chartists determine whether current conditions call for the acquisition of fundamental information in a...

Persistent link: https://www.econbiz.de/10005673613

Explaining dispersion in foreign exchange expectations : a heterogeneous agent approach

Ron, Jongen; Verschoor, Willem F. C.; Wolff, Christiaan … - In: Journal of economic dynamics & control 36 (2012) 5, pp. 719-735

Persistent link: https://www.econbiz.de/10009554305

How do skilled traders change the structure of the market

Vacha, Lukas; Barunik, Jozef; Vošvrda, Miloslav S. - In: International review of financial analysis 23 (2012), pp. 66-71

Persistent link: https://www.econbiz.de/10009690118

Passive Investment Strategies and Financial Bubbles

Fischer, Thomas - Fachbereich Rechts- und Wirtschaftswissenschaften, … - 2012

In this paper, a model of bounded rational investors investing their portfolio in a passive investment vehicle (e.g., an Exchange Traded Fund replicating a broad index) or an actively managed fund is presented. The model proposes that the quick reswitching of these short-term oriented investors...

Persistent link: https://www.econbiz.de/10010851010