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heterogeneous agents and stability impact of lagged price information used by chartists to form their expectations. For the … chartists on market stability. For the stochastic model, we demonstrate that the model is able to display various market …
Persistent link: https://www.econbiz.de/10009357757
adaptive behaviour of heterogeneous agents and market stability impact of lagged price used by chartists to form their … used by the chartists on market stability. For the stochastic model, we demonstrate that the interaction and boundedly …
Persistent link: https://www.econbiz.de/10010574003
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
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
We introduce a heterogeneous agent asset pricing model in continuoustime to show that trend chasing, switching and herding all contribute to market volatility in price and return and volatility clustering, but their impact are different. On the one hand, the fluctuations of market price and...
Persistent link: https://www.econbiz.de/10010754095
Persistent link: https://www.econbiz.de/10011777504
Persistent link: https://www.econbiz.de/10009573416
Persistent link: https://www.econbiz.de/10011701919
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Persistent link: https://www.econbiz.de/10013191441