We develop a simple behavioral asset pricing model with fundamentalists and chartists in order to study price behaviorin financial markets when chartists estimate both conditional mean and variance by using a weighted averagingprocess. Through a stability, bifurcation, and normal form analysis,...

In order to characterize asset price and wealth dynamics arising from theinteraction of heterogeneous agents with CRRA utility, a discrete-timestationary model in terms of return and wealth proportions (among differenttypes of agents) is established. When fundamentalists and chartists are...

The use of various moving average (MA) rules remains popular with financial marketpractitioners. These rules have recently become the focus of a number empirical studies, butthere have been very few studies of financial market models where some agents employtechnical trading rules of the type...

Long-range dependence in volatility is one of the most prominent examples in financialmarket research involving universal power laws. Its characterization has recently spurredattempts to provide some explanations of the underlying mechanism. This paper contributesto this recent line of research...

We develop a behavioral commodity market model with consumers, producers andheterogeneous speculators to characterize-tile-nature of commodity price fluctuations and toexplore the effectiveness of price stabilization schemes. Within our model, we analyze hownonlinear interactions between market...

Trade among individuals occurs either because tastes (risk aversion) differ, endowmentsdiffer, or beliefs differ. Utilising the concept of 'adaptively rational equilibrium' and a recent frameworkof Brock and Hommes [6, 7] this paper incorporates risk and learning schemes into a simplediscounted...

It is known that simple price limiters may have unexpected consequences inirregular commodity price fluctuations between bull and bear markets andcomplicated impacts on the size of buffer stocks. In particular, imposinga lower price boundary may lead to a huge buffer stock, e.g. to a...

Trading agents are useful for developing and back-testing quality trading strategies to support smart trading actions in the market. However, most of the existing trading agent research oversimplifies trading strategies, and focuses on simulated ones. As a result, there exists a big gap between...

By considering a financial market of fundamentalists and trend followers in which the price trend of trend followers is formed as a weighted average of historical prices, we establish a continuous-time financial market model with time delay and examine the impact of time delay on market price...

Within a continuous-time framework, this paper proposes a stochastic heterogeneous agent model (HAM) of financial markets with time delays to unify various moving average rules used in discrete-time HAMs. The time delay represents a memory length of a moving average rule in discrete-time HAMs....