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Fundamentals unknown : momentum, mean-reversion and price-to-earnings trading in an artificial stock market
Schasfoort, Joeri; Stockermans, Christopher - 2017
The use of fundamentalist traders in the stock market models is problematic since fundamental values in the real world are unknown. Yet, in the literature to date, fundamentalists are often required to replicate key stylized facts. The authors present an agent-based model of the stock market in...
Persistent link: https://www.econbiz.de/10011723700
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Prices, Debt and Market Structure in an Agent-Based Model of the Financial Market
Fischer, Thomas - 2012
emerges and that higher levels of leverage lead to a greater inequality among agents. When further analyzing the relationship … between leverage and balance sheets, we observe that decreasing credit frictions result in an increasingly procyclical … behavior of leverage, which is typical for investment banks. We show how decreasing credit frictions increase volatility but …
Persistent link: https://www.econbiz.de/10013103562
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Heterogeneous expectations and asset price dynamics
Schmitt, Noemi - 2018
Within the seminal asset-pricing model by Brock and Hommes (1998), heterogeneous boundedly rational agents choose between a fixed number of expectation rules to forecast asset prices. However, agents' heterogeneity is limited in the sense that they typically switch between a representative...
Persistent link: https://www.econbiz.de/10011787392
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Information Tradeoffs in Dynamic Financial Markets
Avdis, Efstathios - 2016
In dynamic financial markets the stochastic supply of risky assets has a significant informational role. Contrary to static models, where it acts as “noise,” in dynamic markets stochastic supply contains information about risk premiums. Acquiring private dividend information helps investors...
Persistent link: https://www.econbiz.de/10013008223
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Market Stability with Machine Learning Agents
Georges, Christophre - 2020
We consider the effect of adaptive model selection and regularization by agents on price volatility and market stability in a simple agent-based model of a financial market. The agents base their trading behavior on forecasts of future returns, which they update adaptively and asynchronously...
Persistent link: https://www.econbiz.de/10012849509
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Bubbles and crashes: Escape dynamics in financial markets
Friedman, Daniel; Abraham, Ralph - 2007
We develop a financial market model focused on fund managers who continuously adjust their exposure to risk in response to the payoff gradient. The base model has a stable equilibrium with classic properties. However, bubbles and crashes occur in extended models incorporating an endogenous...
Persistent link: https://www.econbiz.de/10010285342
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Humans, robots and market crashes: A laboratory study
Feldman, Todd; Friedman, Daniel - 2008
We introduce human traders into an agent based financial market simulation prone to bubbles and crashes. We find that human traders earn lower profits overall than do the simulated agents (robots) but earn higher profits in the most crash-intensive periods. Inexperienced human traders tend to...
Persistent link: https://www.econbiz.de/10010288144
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Bubbles and crashes : escape dynamics in financial markets
Friedman, Daniel; Abraham, Ralph - 2007
We develop a financial market model focused on fund managers who continuously adjust their exposure to risk in response to the payoff gradient. The base model has a stable equilibrium with classic properties. However, bubbles and crashes occur in extended models incorporating an endogenous...
Persistent link: https://www.econbiz.de/10003854958
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Bubbles and crashes : gradient dynamics in financial markets
Friedman, Daniel; Abraham, Ralph - 2009
Fund managers respond to the payoff gradient by continuously adjusting leverage in our analytic and simulation models … been small for a long time, asset prices inflate as fund managers increase leverage. Then slight losses can trigger a crash …
Persistent link: https://www.econbiz.de/10003921532
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Leverage and Evolving Heterogeneous Beliefs in a Simple Agent-Based Financial Market
Gaffeo, Edoardo - 2018
and leverage – in the dynamics of asset prices. In this paper we use a prototypical “small-type” artificial financial …
Persistent link: https://www.econbiz.de/10012928178