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This paper is a contribution to the literature on the explanatory power and calibration of heterogeneous asset pricing models. We set out a new stochastic market-fraction asset pricing model of fundamentalists and trend followers under a market maker. Our model explains key features of financial...
Persistent link: https://www.econbiz.de/10005495755
We introduce a heterogeneous agent asset pricing model in continuous-time to show that, although trend chasing, switching and herding all contribute to market volatility in price and return and to volatility clustering, their impacts are different. The fluctuations of the market price and return...
Persistent link: https://www.econbiz.de/10011077524
characterized by the stability and bifurcations of the underlying deterministic system. Our analysis underpins mechanism on various …
Persistent link: https://www.econbiz.de/10004984450
fitness to the one with high fitness. We characterise first the stability and bifurcation properties of the underlying …
Persistent link: https://www.econbiz.de/10004984490
expectations and learning schemes are analyzed. It is shown how the dynamics of the system, including stability, instability and … an example to illustrate the stability results, the various types of bifurcations and the routes to complicated price …
Persistent link: https://www.econbiz.de/10004984509
resulting expectations and learning schemes are analyzed. It is shown that the dynamics of the system, including stability … expectation scheme is employed as an example to illustrate the stability results, the various types of bifurcations and the routes …
Persistent link: https://www.econbiz.de/10004984553
Long-range dependence in volatility is one of the most prominent examples of applications in financial market research involving universal power laws. Its characterization has recently spurred attempts at theoretical explanation of the underlying mechanism. This paper contributes to this recent...
Persistent link: https://www.econbiz.de/10004984561
high frequency financial data) and the stability and bifurcation of the underlying deterministic system are established. …
Persistent link: https://www.econbiz.de/10004984595
delay and examines the impact of time delay on market price dynamics. Conditions for the stability of the fundamental price … delay can not only destabilize the market price but also stabilize an otherwise unstable market price, leading to stability … switching as delay increases. This interesting phenomena shed new light in understanding of mechanism on the market stability …
Persistent link: https://www.econbiz.de/10004984607
Stability and bifurcation analysis of deterministic systems has been widely used in modeling financial markets. However …
Persistent link: https://www.econbiz.de/10005041737